Does anyone play disgaea 2 dark hero days?

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I am playing it right now in Axel mode and I find it so difficult to do the missions and finish a set in the item world in the low levels of the game. I want to level up but I keep seeing the game over screen. For those who do not know how to go to Axel mode at the start screen put you cursor to start and press triangle, square, circle, triangle, square, circle and then X. I use some walkthroughs but they make it sound so easy and I am having trouble leveling up the characters as it is. It is a great game but sometimes it is becomes too challenging to ever really enjoy it.