Then, when you go back to the Mario All Stars menu, you can select from any ... 8 by using the warp whistle in World 7 once. On the title screen, press A, B, L, and R all at the same time.

Each time you beat World 8-4, the game adds a star to the All Night Nippon Super Mario Bros logo on the title screen. When you have eight stars, go to the title screen and hold A and press START ...