Whatever you're doing, you need an escape route, so don't put your back against a wall, have it against somewhere you can escape to safety. Levels are laid out with obstacles like crates everywhere, which you can dash behind repeatedly to avoid bullets and hopefully get the chance to regain your health. Whether running about the stage or lying in wait for enemies, make sure you know exactly where you're going to go if you get spotted first. The portals which jump you from location to location are great for this.