-Most of the time I don´t do full runs, I just fire up MAME and play whatever stage or boss I feel like for 5 or 10 minutes and then quit.
I know it´s not how these games are supposed to be played, but I just enjoy short bursts of my favourite parts without any of the stress - and this is the big, main reason I will never, ever be interested in buying a PCB. I also can´t stand consoles with their loading times - I need my shmup fix NOW NOW NOW NOW NOWWWWW!
-I have almost the entire keyboard filled with savestates for most games, and I configured the buttons that I just hit the spacebar and then the key with the state on it. Since I love to play the tough spots I do this "hand-slap" motion on my keyboard sometimes several times per minute. "Damnit!" *space-T* "Damnit!" *space-T*
-I tend to judge moments in the game as to how well they would suit to be a savestate. For instance, when I play Sexy Parodius, I try to keep some bells going into the bossfight and then experiment with them over and over again instead of playing the actual game in its natural progression.
Likewise, I have played the DDP stage 3 boss and stage 4 about four times as much as the rest of the game since I just love these parts so much. Really, half of the time I´m micromanaging my savestates - "The medusa boss has this cool Castlevania 1 boss tune at the beginning but if I save there it will take my 2 seconds to start the actually boss pattern each time I start it. I guess I will just make TWO savestates then!"
I think I have turned shmups into my own personal little challenge mode and I´m not sure if I will ever prefer actually playing them as full runs. Oh well

I still noticed that I improve my skills - after playing Parodius and Progear a lot, I noticed I can somehow survive the Vinogradov (stage 3 midboss) in Ketsui just fine, while I was really freaking out on the last pattern a few weeks ago
....
And another shameful secret: At times I pretend to be a super-cool japanese pro player, doing very precise, deliberate movement, fire single shots, aim at specific parts on bosses - despite having absolutely no idea what I´m actually doing. (I think I watched too many Battle Garegga superplays.)