Forward - Tilt the control stick forward as if to do a tilt. As one Ice Climber f-throws, the other should be walking forward. As the throw animation is finishing, hit Z to grab with the other Climber. If timed correctly, you will regrab.
Down - Hit down on the control stick (to do a d-throw) and immediately tilt forward (during the throw animation). One Ice Climber will d-throw, the other should be walking, not running, forward slightly. As you hear the "bounce" sound, press Z to regrab.
Back - Press backwards and Z almost simultaneously. Sometimes the Z is a little bit delayed. In any case, this one is fairly simple, but only works while Popo is the one grabbing.
Back (if Nana is grabbing) - Press backwards. Nana will b-throw, but Popo will be running in that direction. As the opponent comes flying in Popo's direction, hit back+Z to do a pivot grab.
The timing on any of them is hard and varies with character weight.