Play PC-98 games and use an emulator with quick save. Don't bomb at all and go for all endings. By the time you are done with 1-5 you'll be much better.
Also make sure you are hydrated and get enough sleep. It really really helps because it's so much easier to concentrate and do precise movement.
Play practice mode. And don't just do it blindly and complain when you die. Look at the patterns, where the enemies come from, etc. Often you can kill them before they start shooting making levels before boss pretty much a joke.
Make sure you are familiar with the game mechanics for whatever game you are playing and properly make use of them. You can read about them on the wiki.