From StrategyWiki, the free strategy guide and walkthrough wiki

[edit] Dimension Warp

By collecting two Warp Capsules in a single dimension, you will warp to the next dimension after the current dimension's bonus stage. There are two ways to get a warp capsule: kill a giant Goei, or destroy an obstacle. As there are no obstacles in the first dimension, the first option is the only way to warp to the second dimension after the first bonus stage. The bonuses you get for dimensional warping are as follows:

• Dimension 1 to Dimension 2: 10000 points
• Dimension 2 to Dimension 3: 20000 points
• Dimension 3 to Dimension 4: 30000 points
• Dimension 4 to Dimension 5: 40000 points

The dimension you're in at the end of the game also determines which of the final bosses you'll face and which of the four endings you'll get. The "mini-boss" on the tenth stage is always the same no matter what dimension you're in, but if you're still in the first dimension at the end of that stage, you will automatically warp to the second dimension with no bonus.