You just answered your question. If you want to play the "walking right" when you press the up and right buttons, create the event where you set these rules. Something like this:
+ MouseKeyboard: Key Up arrow is down
+ MouseKeyboard: Key Right arrow is down
+ System: OR
+ MouseKeyboard: Key Right arrow is down
-> Character: Set animation to "WR"
You should handle the animations in different events than the movements, or this solution will not work correctly of course.
Note: if you would like to change the controls in the future you will have a lot of trouble, use some pv instead.
+ MouseKeyboard: Key Right arrow is down
-> Character: Set 'state' to "R"
+ Character: Value 'state' Equal to "R"
-> Character: Set X to Character.X +1
This way you only have to change the first event if you want to switch to wasd for example, not the whole sheet.