Every Battle Counts
Play as any character in Musou Mode, and finish a level without achieving all target goals. On the screen that prompts you to save, press START+SELECT to return to the main menu screen. Then you can begin the level you just completed (or a different one) in Free Mode. As you prepare for action, you'll notice that all weapons, horses, and skillpoints you had received are accounted for, even though you didn't save.