I came back to running sa2b after a too long brake, and I want to practice curtain bosses ie. egg golem eggman2 shadow2 but don't want to go to all the other bosses, just for the practice, is there a way to practice individual boss levels?

For actual Hero Story/Dark Story practice, the best method is to use actual savestates in Dolphin.

This is because restarting the boss fights in many instances causes their AI or behaviour to change, such as Sonic 1/Shadow 1 running as soon as they gain control, or Egg Golem becoming increasingly unresponsive.

If you can really only use the PC version though, using the Boss Rush menu is obviously the fastest way to reach Big Foot/Hot Shot, then there are a few scenes in Story Select that start on a boss fight, such as Shadow 1, Hero Egg Golem, and Sonic 2 in Dark Story. Sonic 2 is perfectly fine to use instead of Shadow 2 as the fight is basically identical, but with your starting positions swapped.