As Sonic, after the first grinding rail, land on the first platform. Take the lower of the two rails. At the end of the rail, jump to the platform and use the only rail, on the ground. At the end of that rail, there is a platform with speed panels. At the end of the platform there is a bomb robot over another platform. Destroy it and use the rail off of the platform it was over. At the end of that rail is a check point with a small gap afterward. Jump the gap and go all the way down the big drop. At the bottom is a rail on the left side. It will take you to a platform with a ring box and a life box. Get the life and then choose "Exit" from the "Start" menu. Re-enter the level and you should have the same number of lives you had when you exited the level. Repeat this as many times as needed.

If you stay in a place too long or if Shadow or Sonic gets too far ahead, they will use their Chaos Control. To avoid this, you need to jump and swerve quite a bit. You will reach a further distance and will not lose any rings.