Each level contains musicians. You will notice them immediately as they are the only other characters in the game. To pick one up just hold until a white sphere has appeared around you and drift towards the musician. When you are close enough there will appear a small white line between you and the musician. Hitting another time will result in dropping the musician. You only have to hold them a brief moment.
When playing co-op, let the player who wants the achievement pick up the musicians, otherwise they won’t count towards the achievement and you have to replay the levels.