*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.
Edit: There is no specific strategy for V that I can mention other than keep boosting Shadow and Griffon with DT, summon nightmare at the start of every stage, smash X & Y and keep your distance. (normal enemies, boss fights, etc)
NOTE: Keep in mind that If the stage gets too crowded you can always hop on Nightmare and they will hit him instead of you and this drains the DT gauge. It takes a few seconds for it to refill again when you deactivate it. normal enemies don't do much to him tho. but the bosses will drain your DT in seconds.