If you want to farm for screws and the like, consider going back to Plug Man's stage after clearing it. By playing through the stage over and over again in its entirety, you can collect two extra lives, an E-Tank (the only E-Tank in any of the eight Robot Master stages) and around 45 screws per visit. It is indeed the most lucrative of the stages to head to in this regard.

An addition from Colin Moriarty: The Jewel Satellite on just about any stage will allow you to easily harvest screws and extra lives from unsuspecting enemies as well. The best place to use the Jewel Satellite is in the initial run on Concrete Man's stage. The birds, the rocks they drop, and the enemies that come out of holes in an attempt to knock you into them will give you endless amounts of screws and extra lives if enough time is spent. Run back and forth with the Jewel Satellite equipped during on the first section of Concrete Man's stage, respawning enemies and collecting ridiculous amounts of screws!

An addition from bergsandwich: There's another great technique to get as many screws as you need. With the Jewel Satellite in your inventory, head to Plug Man's stage. Head to the first pipe you find that spawns endless amounts of slow-moving floating robots. Engage the shield and sit right next to the pipe. Enemies will run into you from above, dropping whatever items they drop right on top of you, including small screws. Stand there for as long as needed to acquire the amount of screws you want.