To earn this achievement, you first need to unlock a "Back to Origins" Level, which are rewarded by chance from "Lucky Tickets", which themselves are unlocked by earning Gold medals on levels (once per level).
The first "Back to Origins" level to be unlocked will be "Geyser Blast". Simply complete the level (you do not need to collect all teensies, or even earn a trophy) and the achievement will pop. For that reason, I don't believe a level walk though is necessary (I got all teensies and the Gold trophy my first play through), but if there is enough response, I will do so. Congrats!
Happy Hunting!
- Dan