First, go into the overall compilation’s options and set the difficulty to easy and continues to free play.
Start one of the individual games with controller 1.
As soon as you lose your last life, the continue countdown for player 1 begins. Press Start (mapped to the right half of the touchpad) on controller 2, and play as the second player for a bit.
When player 2 loses his/her last life, their continue timer begins. Press Start on controller 1 and play as the first player again.
Repeat the last two steps over and over until the game is won.
A couple notes:
After switching controllers, make sure you don’t lose all of your lives while the other player’s countdown timer or high score entry is active. You can speed up the countdown timer by pressing X repeatedly, and rapidly enter high score initials with the square button.
Metal Slug 6 has more strict timing, you’ll have to press start on the inactive player before the active player’s countdown timer begins.
Hope this helps!