-( Story related, cannot be missed )-
While pulling the operation off to rescue Jing King, all pieces will fall into place:
Penelope and Murray will break into Tsao's treasury.
Sly will make it into the palace and prevent Guru and Panda King from being detected from the vases.
Bentley will lure Carmelita into the palace.
Once all of the actions are complete, the treasury will fall apart, Jing will be rescued, and Carmelita will take her place to try and capture Sly. Due to the treasury falling, Tsao will summon the treasury's dragon statue to life. Jump and hook onto one of the fireworks provided near the palace to fly up to the dragon, and then Spire Jump onto its back. Move forward carefully while avoiding his breath attack, and when you make it to the lengthy spine protruding near his head, he will turn his head COMPLETELY around (a take on Exorcist, definitely) and try to attack you. Most of his attacks will be licking you with his fiery tongue or trying to grab you with his claws. The tongue attack is rather slow so you should be able to pass it and still jump back onto his spine.
After half health, he will try to shake you off and you have to repeat the process. The only difference is that now, he can also try to lick you without it being fiery, speeding it up. Deal enough damage and you'll be able to rescue Penelope and supposedly fool Tsao into no longer pursuing you. Episode complete.