To rescue 10 damsel in one game you will want to begin in the Mines as the later levels make it harder to rescure them. You can only rescue 1 damsel per stage, so the soonest you will be able to obtain this is at stage 3-2 in the Ice Caves level. Sometimes damsels will spawn in ridiculous places, buried in the terrain or up high where they seem almost unreachable. Make sure you have bombs and ropes; paste for sticky bombs is always useful. The achievement will unlock when the 10th damsel walks through the exit.