Ok what you want to do here is click down on the R3 button (right analog stick) once you have Metal Slug (or any other game) running. You'll now be in Test mode. Scroll down to "Setting up the soft dip" and hit X. Now go to "Slot 1 Metal Slug" and hit X.
Here you'll see a bunch of options including how many heroes you get (up to 99) and blood. Just set blood to "On" by hitting X and you are good to go. To get back to the game, hit  square twice then scroll down to Exit and hit X.
Remember, you can do this for many games, not just Metal Slug.