I dunno, the only thing I can think to say is to stock up on E-tanks before the Wily levels. Unfortunately, the only way to do this in Proto Man Mode is to keep going to Plug Man's level. And also get the M-tank in Wily level 3. I mean, once you've fought the bosses many times, you know how they move, attack, what they're weak against, and how to use those weakness weapons efficiently, and at that point, in any game mode, you don't really need the aid of E or M tanks, but if it's still one of your first play throughs, that's all I can think to suggest other than practice.

For me, when fighting Concrete Man, I tend to just constantly shoot the Laser Triedent at him and jump. The Trident can destroy the cement blocks he throws at you, but if you do get hit, just mash around on the controller and you'll break free quicker than usual. Take advantage of the times where he jumps up and stomps on the ground and when he charges toward one of the walls. Those are the best times to hit him. 

For Hornet Man, I can usually destroy all the bees with just one well-placed shot with Magma Bazooka, but if I miss, I get kind of screwed up with both Hornet Man and a bee or two running at me. Hornet Man has an obvious pattern though, and remember that you can charge the Magma Bazooka, and pretty quickly too (I did not know this for a while into playing the game, haha).  Usually with a charged shot you can take out the bees right off the bat, and you can still get some good shots in on Hornet Man, and they do a great amount of damage.

When fighting Magma Man, use Tornado Blow right after he jumps and shoots (and I usually jump along with this in case I want to make it onto the other side of him when he comes closer) and all his fire will just be blown off the screen, so that's one less attack to worry about. You can kill him with just the four shots of the Tornado Blow if he's in the right position and all and gets hit by one of the actual tornadoes that flies up, but more often than not, I find myself just standing on the opposite step of him and just unload the Mega Buster until he's done.  Usually he just stands there replenishing his fire just long enough for you to get those four shots in.