Even playing on Proud Mode, the only things that might give you some challenges are going to be either the elemental cores or the bosses, like the Demon Tower or Demon Tide. In this instance, make sure you save repeatedly, and should you end up dying, instead of choosing to Continue, go to Load Game and either load the auto-save data or the recent save data that has been made. It does not count this as retrying or continuing, so you are good to go if that's the case.