Yep. There's a var the char modifies to make MUGEN know in which level he is (for example: it puts it in 0 for normal state, 1 to SSJ, 2 to SSJ2, etc). What you have to do is to add a new state where it modifies the var to 4, add the sprites and the anims of the SSJ4 Goku, then modify all the char's states so they make MUGEN change the anim to the SSJ4 one. Again, this is quite complicated, but possible.