Since AetherSX2 uses standard PS2 memory card formats, you can use files originally meant for the PCSX2 PC emulator.
To save data in Naruto Ultimate Ninja 5 on Aethersx2, follow these steps:
How to Import Naruto Ultimate Ninja 5 Save Data on AetherSX2 Unlocking all 62 characters in Naruto Shippuden: Ultimate Ninja 5
If you are playing on the AetherSX2 (or NetherSX2) emulator on Android, you can skip the grind by importing a "100% complete" save file. This guide will show you exactly how to do it. Why Use a Save Data File?