It's all down to progressing slowly and learning where everything is in the levels
You can find a lot of extras when you backtrack quite often and explore the levels thoroughly. World number 4 is indeed very hard, but until then you should have enough extra 'beef' to handle it
Basically it's a good idea to try something different each time you play a level. I'd choose Brigand and Navvie, but also check the other characters for their extras.