Evolving weapons happen by combining a max level weapon with any level of a specific secondary support item. Once you have both of those items you must then kill an Elite enemy and open the chest that it drops. The combinations for the Cross is the following:
Heaven Sword – Cross + Clover
The Cross is first unlocked by finding your first Rosary (Cross that kills all enemies on screen) and the Clover is unlocked after you find your first little clover. Both of these are drops from light sources that should come naturally as you play through the game.
If you're interested in seeing what the combo is for the other weapons they are listed below in the spoiler tag :)
*** Spoiler - click to reveal ***
Hellfire – Fire Wand + Spinach
Death Spiral – Axe + Candelabrador
Holy Wand – Magic Wand + Empty Tomb
Thousand Edge – Knife + Bracer
Bloody Tear – Whip + Hollow Heart
Unholy Vespers – King BIble + Spellbinder
Soul Eater – Garlic + Pummarola
La Borra – Santa Water+ Attractorb
NO FUTURE– Runetracer + Armor
Thunder Loop – Lightning Ring + Duplicator
Gorgeous Moon – Pentagram + Crown
Vicious Hunger – Gatti Amari + Stone Mask
Mannajja – Song of Mana + Skull O'Maniac
Valkyrie Turner – Shadow Pinion + Wings