No you remember correctly. I believe it went like this; beat the game. When the title screen comes up, look at the top of the screen and you should see the typical stuff; score, time, level info. If you push "B" (or it could have been select, or select+b) the world number that is shown at the top of the screen should cycle through 1 to 8. Get it on the level you want and push start....or it could have been you needed to treat it like a continue and hold "A" when you push start. But there you have it! I am 99.8% sure I am right on this, but I dont have my SMB handy to try it real quick. =P