You can do this in co-op or solo play. Solo play tends to be easier, unless you are very good at the game. The reason solo is more manageable is all thanks to the 'Save State' feature in all of the SEGA titles. You are going to abuse this.
Before you begin the game, set your Lives/Energy to the max. Every time you clear an enemy or a small group of enemies, make a save state. There are only 3 slots available, but it should be more than enough. Once you get to bosses and later levels, you can even save state after getting a single hit in, as some mobs will be tough to defeat. You will get this trophy at the conclusion as long as you don't lose all 5 Lives. Don't worry about losing a little Energy on each level, as you will get the opportunity to score some of it back from the extra in-between stages you encounter. A good goal is to reach the final level with all 5 Lives intact and then you can be a little bolder with your tactics. But make sure to keep some save states in case something goes very wrong.
A few extra tips: Always keep your mounts that you acquire throughout the level. Using your save state, do not allow them to get away from you. They are extremely helpful and will make boss encounters much easier. Don't let enemies get too close, and just time your attacks. Save your Magic attacks for difficult mobs or boss encounters. Save states will rescue you from any mistakes. If enemies charge, simply move up or down to avoid them. The final boss can be defeated if you get him stuck against a wall. Stand right next to him and repeatedly hit him before he gets up. He may get a lucky strike in every-now-and-then, but it won't matter much.
Let me know if there is anything else I should add to the guide!