*This guide is based on having Super Costumes*
Alright so, you can select Bloody Palace from the main menu. It's a place where enemies come in waves. It has 101 stages. If you die, you will need to restart from stage 1 so I suggest play with patience and don't get yourself killed and waste your time. after completing a stage, you can use "Suspend" in the pause menu to save your progress and quit to the main menu. so you don't have to go through all 101 stages in one go.
there is a boss fight at every 20 stages. so there is a boss at stage 20, 40, 60, 80. near the end, the algorithm changes and you'll get a boss fight at stage 90, 98,99,100,101. stage 101 is the hardest, obviously. normally you'll receive health before boss stages but you have to do stage 98,99 and 100 with the same health bar. then you'll receive health for the last stage. I suggest finishing the game on Dante must die to receive Super Costume. bear in mind that the Unlimited Devil trigger WON'T heal you. If you die somewhere, before starting again you can select "Warm up". and it allows you to practice the last stage that you died in and all the other stages before it.
with Dante, It's the easiest among all three characters. no normal stage is really a threat to him. If things get hairy, make some distance with the enemy and keep refilling your Sin Devil Trigger and destroy everything. (First RT attack than LT on bosses).
Vergil can be a little tricky tho. but with the super costume, you can just hold B on Royal Guard and he can't hit you at all. (Dante gets his Royal Guard gauge refilled as well) very useful during Vergil's demon phase. wait until Vergil turns to human and when you have the chance, hit him with Royal Guard (LS + forward+ B) this will blast him with massive damage from RG gauge. I highly suggest not activating DT during the fight. because when he hits you on the royal guard, your Devil Trigger drains but refills very fast. but If you in DT mode, It doesn't refill and he hits you until your guard is broken.