Do the Invincibiility cheat. Highlight the options menu, hold Left and press A. Or if you already in the options menu, select any option except "EXIT", hold Up or Left or both and press A. The "SKILL" name will change to "BOY LOVE".
First, set the "SKILL" level in the options menu as "COB". Then start a new game, complete the first round, collect one bonus bug in the second round, and complete the second round with exactly 2 lives left. During the bonus game, pause and press B, A, Right, Down. If done right, the bonus game will unpause automatically. Finish it, regardless if you win or lose. Now, at the third stage, lose the rest of your lives. Select "NO" option at the "CONTINUE" screen and return to the title screen. Now start a new game, and you will be invincible.
Pause the game and push B, A, Right, Down to skip to the next stage.