You should start with all chapters unlocked cause I beat the first two, but when I came back, I had to start over, and I want to just go straight to Chapter 3.
The downloaded versions have a save system, but I couldn't find a way to save your progress on the web version. I'm working on adding a button in the Chapter Select screen to unlock all the chapters now, but in the meantime you can go through levels quicker using the "N" and "B" keys to go forward and backwards through the levels.