The first color gem you will probably acquire is the red gem found in Level 12 (Deep Trouble). Play this level through until the end, where you will find a “!” crate. Hit this crate and then backtrack to earlier in the level (underneath where the spinning electric plates are) to find that previously missing crates have now appeared. You can activate a TNT crate here to open up a new area of the level. At the end of this new area is the red gem.
Now, with the red gem, you can load up Level 4 (Bone Yard) and take the red gem path found there to unlock the trophy.