Flags are not what you're looking for, here. Instead, you're looking for Warps.
Go to third party tools, go to Warp Left, in the X Coordinate box where it says 0, change it to 1. With the Warp Right, change the X Coordinate modifier to -1.
This last step is really important and I often forget it myself: in bank zero, look for an object that shows an orange box with arrows pointing left, right, up, and down. You can place it anywhere on the screen where the warp(s) will be used, but the warp(s) will not work if you do not place this object.
For the sake of making sure you know what's going on here (although you might already have figured it out, in which case ignore this bit), keep in mind that the default modifier for a warp is 0. If you're going one screen to the right, that's +1 on the coordinate plane in Knytt Stories. Putting in a -1 negates this and starts you back off at the same screen you were just on instead of the one to the right.
Hope this helps!