During the Game hold Down and press Start to pause. While paused hold Up and press Triangle, Circle, X, Square. Two small numbers will appear on the left side of the screen. Press Start to unpause, the hold L1 and press Select repeatedly the left number to the number of the stage you wish to go to. Once you have chosen your stage, hold L1 and press Start to warp there. To remove the numbers from the screen just reenter the code.

Stage Warp