Theres no native anti-aliasing in any Click programs. Even the anti-aliasing option is just bogus. Your best bet would be to use either photoshop or any other programs to allow for an alpha channel which might naturally give the object smoother sides. Then import the PNG's you exported from whatever program you used, and MMF2 will naturally use the alpha channel. That's what I did for Diamond: Revolution 2, works beautifully.
PS: Never use anti-aliasing in games intended to show off pixel art. It ruins them.
By fallowing the link 緑葉 gave above to a wiki article, I found at the bottom, a more narrowed article or rather a tutorial on how to do anti-alias. It's more based on web art, but from quick scanning, it goes over PNG's which is how you'd import anti-alias into MMF2 easily, and it goes over the basic idea behind how to create anti-alias by hand I think (Didn't read it), so I'm sure you'll find it useful.
Originally Posted by WillWill Might aswell contribute with some illustrations.
Edited by the Author.
You have to be careful though with that, because even those images alone could insist that the only thing anti-alias consists of, is blurring the sides. This is very far from the case, and is in fact why the anti-alias in MMF sucks.