Two ship Galaga to do this cheat you have to have a second controler. Hold Triangle + X + UP +L1 for a second ship during the load game. Olso you will need to press select to restart a stage. But just remember restarting the last stage will return the game to stage one.
If you want to do this, beat galaga, the one you play at the very begining of the game, with losing only one ship on single ship mode. If you want to make this a tons easier, beat the first level without losing once in less than or at 8.16 seconds to get a second ship for free. It's much easier this way to get all ships. You can't lose once either but do this to get devil kazuya.