The stage practice option is activated by holding down the A, B and C buttons at the title screen and then pressing start. On the main menu, "STAGE PRACTICE" will appear. Going into this basically gives you a level select, which lets you choose any difficulty and then almost any stage -however you cannot practice on a boss stage. Once you beat the stage you select, you will be returned to this screen.

There are various points bonuses available if stages are beaten within certain conditions. For example, there are bonuses for not using your ninjitsu, not using and shuriken and even not killing any enemies.