How do Anti-Aliasing Filters filter the signal?
Yes that is correct. The width of the transition band is inversely proportional to the length (or memory) of the filter which means to say that you would need an infinite amount of time to achieve your perfect filter. Therefore for practical reasons you decide how much aliasing would be tolerable (similar in many ways to deciding how many decimal places you need to include for a number describing the length of something) and then design your filter accordingly. The tighter the rejection the longer will be the filter delay and higher will be the overall complexity.