If you're playing one of the versions that allows it ("cheating" ahead)
Abuse the hell out of the weapon pause glitch. NES had it as Select, so whatever analogue uses the "pause without bringing up weapon menu" button. Spam pause when a piercing weapon like Rolling Cutter or Elec Beam is out, and it will slowly damage Yellow Devil with one shot. Usually not enough to kill him, but them's the breaks.
Also:
Get used to Yellow Devil's patterns, because he makes reappearances extremely frequently. Most directly, the next time he appears is Mega Man 3, although MM2's block boss is similarish?
---
[Brackets.] - Current and ongoing games: FFXIV, Vermintide 2, League of Legends, Warframe. Streaming soon on Twitch