Wow, someone else's playing BK 4, that's super awesome to hear!
I'm having trouble right now on level 25, as I have no idea how to transform my rekka to doragon no hono, to defeat Ryujin, as that's the only thing that does significant damage.
Also, if you have the patience to jump through the electric nets on the heaven level, when you are dropped from the sky tower, try going left, instead of right. There's a fire lake you have to cross, so stock up on either lots of rice balls, or if you talk to Yokotanku, he will give you anti-flame pills that last about a minute each.
Either way, after the fire lake, there's a bonus weapon (tears of angels), which is super useful when you go right from the sky tower, as it will stop the monsters from transforming into demons, so you can usually kill them in a few hits instead.
Oh, and if you don't want to die fast, don't, for any reason, enter the underworld, until you are at least level 30 or higher, or you find the blood umbrella. The blood rain at the beginning of the area can take off ridiculous amounts of health.
Btw, if anyone needs help with collecting your sky steel equipment set, reply here and I'll try to help, as the maze for the sky sword is a bit tricky with the moving walls and whatnot.
Edit: I forgot, don't bother with the electric shield, however tempting it may be, you can talk to Lyra after you complete Heaven and she'll give you an enhanced lightning shield that can be used to shoot lightning bolts as well. Why her father had it in the first place is beyond me, you don't just keep a shield around, but that's how it is. Incidentally, if you complete her quest and bring back all the lightning-based equipment, including the shield she gave you, she will give you something even better, but I don't want to spoil things.
Have fun, and don't forget: Juuuuuuuuump!