Convict hard?
Actually at 1st, I find convict's last stage to be very difficult but after trying for numerous times, I managed to figure out how to kill those 4.
In my opinion, you should 1st dispose of the most powerful guy, which I believe is Asshole.
Ground fighting is almost impossible as those 3 will be hitting with everything they got so I use air attacks. Try to stay in air at every possible time because chances of they hitting you is actually quite low but if they do hit you, just mash the block button and you will parry their attacks away.
Keep on trying to hit them while in air until Convict changes into one of the dudes with high aerial damage such as Asshole, Pico and Nene, my fave being Asshole, he can keep on hitting while on air and still managed to do some decent damage, my highest combo being 42 times on Pico and his life dropped from 3/4 til dead. Just don't try to get hit, every drop of life means alot.
Don't try to aim for any pick ups unless you are sure that it is safe to do that or else they will start hitting you with everything they got again.
By the way if you are in Alloy or Pico form and you picked up a gun powerup, just fire away, watch them trying to come near you while getting hell lotsa damage. If one of them manage to pick up gun powerup, just try to lure the others in his line of fire so they will recieve the damage, more damage the better.
Just try to stay alive in air and avoid any possible ground contact though occasional hits may be possible while others are in air.