How to avoid losing lives:
To not lose of a life, push Start when you have one heart remaining, and pick "Retry". You will go back to the door you went through. This is good for health.

How to receive more lives:
Keep going to the first Hoverboard stage. Get the first life, then keep going until you get to the hill with a sign. Jump to obtain the second life. Now head for the finish line and jump for the third life.