go to the address below when you get on the page, scroll half way down and you should see SONIC BATTLE M.E with all the sonic characters appearing . its a full mugen game, but if you just want the characters then open the folder named "CHARS" . all the sonic characters will be there. http://mugencharacters.ucoz.com/
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Downloads for sonic, tails and most sonic characters for mugen http://mugencharacters.ucoz.com/load/25
My personal favorite sites are mugenation.net and mugen-infantry.net you can find almost anything for mugen.
www.esnips.com search the naruto characters u want, and put mugen in the front always, like mugen sasuke
scruffydragon.com
esnips.com and tape in classic sonic