On the character select screen, type "WALLOO" (the background will change to maroon). Press a number ('1'-'6') then the 'SPACEBAR' to go to the corresponding level.
Or on the character select screen, type "HOULQ" (the background will change to maroon). Press a number ('1'-'6') then the 'SPACEBAR' to go to the corresponding level.
When finishing a level, get the second of the two flags, and you'll keep your record collection through to the next level.