Start a 2-4 player game and then have the other players leave. You will get to keep the extra lives and if you reach the Gold Room you will have the extra time to pickup the coins.
It might even be worth going from 4 players down to 2 players, especially if you are going for the "Sweetest Curse
" Achievement. The extra lives would definitely come in handy.
Obviously, this is something you would have to coordinate amongst XBL Friends or via System Link. Disconnecting yourself from Xbox LIVE brings you back to the Main Menu, so that is NOT an option.