Use Anubis, Voodoo or CY-5. Their fatalaties make it easier. NOTE: I'm not sure about Voodoo because my friend said that Voodoo's fatalaty was the best against him.
It's easy to win by just non-stop throwing your enemy. Everytime they start to get up, run over and grab them again.
At the screen where Exor bellows "Midway presents WARGODS!!" press Right, Right, Right, B, B, A, A.
At the title screen press C left ,C left, R, A, B, C up, C right.
At the character select screen press Left, Down, Down, Right, Left, Up, Left, Up, Right, Down.
At the character select screen press Down, Right, Left, Left, Up, Down, Right, Up, Left, Left.