I made a few test movies, 9 of them in total (none longer than 10 seconds). Since it would be a lot of work uploading, and downloading them all from DeHackEd's, I made a zip:
Zip with 9 short tests
I numbered the movies; description follows:
#01: Searching for places to do the wall trick, this one seems quite suited, since you don't need to wait too long for taking damage. This movie keeps zipping, which shows another major flaw of the "through the wall"-trick... the screen scrolls a lot slower than megaman moves.
Since zipping like the first movie is useless, I'll stop the zipping earlier:
#02: Zipping at the same place as the first movie. I stop zipping before the screen scrolls too far.
#03: Zipping one wall farther, you can still zip through the same amount of walls, before megaman gets too far ahead of the screen.
#04: Zipping two walls farther than the first movie. This also makes it possible to zip through the wall. Just note there is no way to make the screen scroll the last bit, so you are able to climb an endless ladder, instead of getting to the next room.
#05: Show the same way of zipping like the 4th movie, but with a small bug at the end. It makes you get stuck, without being able to continue playing.
Zipping from one wall farther than this movie would cost way more time, because you can't get hit very fast, if you can get hit at all at the right frame. This is certainly no option.
Having done those tests, it seems that the first wall or the second wall were suitable for doing the glitch.
#06: This movie shows a test with the glitch at the second wall. It's not fully optimized, but it shows about how fast it will be (note that there is alot more lag at this movie, since it was not preset, and there are alot more bullets and enemies on screen).
#07: This movie completes the room without the glitch, and unfortunately, it's about 100 frames faster :S. This one is not optimized aswell, so both movies 6 and 7 could be faster, but 100 frames is a significant difference, meaning the wall glitch can't be included here, unfortunately.
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Something else now...
#08: Sliding faster here with the use of the super arrow, and with taking damage. Since megaman is far to the left, you can bug him out of the screen. Evidently, you are stuck at the end of this movie.
#09: It's also possible not to get stuck, but you have to make the screen scroll more manually, which costs alot of time...
Maybe taking damage, and using the lowest shaft can be included, not sure about that yet.
