From the title screen choose Story, then Chapter Select, and pick the chapter. Before you press Start, open the chapter's Menu and set the difficulty to 3rd Climax; check it each time. Run 1 is finished, so starting a chapter here costs no checkpoint. Items are fine on a run like this one, where no rank is needed, and if you fall, accepting the continue screen puts you back at the last checkpoint. Bat Within, bought after the story, gives you more time to dodge when a hit lands. Leave the Climax Brace 2 off for this run.