On the first level of each episode is a small red ball with arms, legs and sunglasses. This is Smallsy, and to unlock this achievement you will need to find all of them. None of them are particularly well hidden, though a few are a little hard to get. It might take you a few runthroughs of each level to actually pick it up, particularly when Smallsy is on the big balls, but so long as you pick it up and finish the level, you will get credit for it.
Picking up the same Smallsy over and over again will not work. You will need to pick up every Smallsy in the game, and there is no way of telling which you have missed.