It varies from character to character. Gilgamesh has the longest chain of attacks, pardon the pun, for his EX attack, while most characters have it down, right, down, right, followed by either triangle, circle, or square.
Try it in Practice moce with various characters, check out their Command List, and set the Magic Bar to full, and Grail to "on", and you just work with trial and error. Took me a while to get them down, but once you do, it's easy.
You probably already know this, but when the Grail is full (like in Practice mode), you actually have to hit the guy to grab the Grail. You'll know the Grail is yours when your lifebar flashes light-blue.
Then proceed to do the attack at the very bottom of the Command List, the EX attack. Most of them have it at 236236 + c (down-forward x 2 + circle by default). Of course, forward is where you're facing.
Of course, there somewhat are exceptions. Exceptions/variations include Archer's 'Incantation-first' system, and Gilgamesh's Naphistim chain attack. I particularly take note of Gilgamesh's EX, as it may seem complicated at first, but is actually easy. Check the attack string at the bottom of his list...that is the continuation chain to his EX attack.
Archer doesn't need the grail to pull off his Ex, which is why it has cooldown and 6 incantations, and then 300% mana after the 6 are full. Archer is awesome like that.
Best thing to do with archer is work mana to 200% or above, and start doing the incantations in the first round. Stay about 100% for specials, 200% if you think you'll need to mana break. Second round, try to have the incantation full and unleash UBW in the middle of a combo.
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