To prevent a loss of a loss of a life, press Start when you have one heart remaining, and select "Retry". You will go back to the door you went through. This is good for health.

Hint: More lives: Keep entering the first Hoverboard stage. Get the first life, then keep going until you get to the hill with a sign. Jump to get the second life. Then, head for the finish line, and jump for the last life.