Wily 1 - After the Sled
You must have Thunder Claws for this section
You want to have an extra life going into Wily 2. If for some reason you have 0 Lives left, collect the 1up over the boss door.
After getting off the sled, swap to ice wave, slide four times, then use an ice wave.
If you are confident in your weapon swapping, quickly switch to Mega Ball, ball jump once, switch to thunder claw in your jump, and grapple the peg. If you are not confident, just proceed to the peg normally to grapple it.
Destroy the cannon on the next high platform. You can grapple the next peg from a standing position on the far right of the platform, though if you hesitate too much, you are likely to get sniped out of the air during this.