This isn't as hard as it might seem - save regularly at checkpoints, and if you miss a jump/die, just hit start and load your last game.
Key here is that I recommend you create a save at the very start of the level and DON'T overwrite this save. If you mess up, you cannot do this with replay the level as there is no save option. So if you mess up Greece, Egypt or Lost Valley you would have to start again as a new game until you get back to the level, which would be a serious pain!! If you have the save game from the start at least you can just try again.