The second level in the game is the earliest point you can unlock this. As you progress through the level, 3 of the boxes will contain a Character Token. At the third one will be a portal. Once you collect the third, the portal will open up. Head through to unlock this trophy.
The portal tells you how many tokens you have collected before it unlocks, so if you get there and collect the token next to it, if it says 1/3 or 2/3 then you have missed 1 or 2 tokens and will have to try again on that level.