You will have to do this in Free play. Choose any stage (it's usually better if you have unlocked everyone up to Blackbeard so you can go anywhere in the stage.)
Then in that level use Jack sparrow and follow the compass (hold circle) to each of the 8 secrets. Some of them are hidden, a few are behind hidden walls. One or two will required Jack Sparrow( Cursed) as they are on the bottom of the water.
It's possible you can do this in the hub as well.