To earn this achievement, you must wear these three items at the same time.
The Dazzle Wig is found in the "Flies and Spider Level", in "The Elves of Mirkwood" section. It's inside the secret passage in the very beginning of the section. You will need the Fire Cracker Bow or Saruman to break the Mithril LEGOs blocking the passageway. Once to enter the secret area, go to the very east of the area. There will be a jacuzzi with two skeletons inside. You will need to use Bilbo's fishing ability to fish the Dazzle Wig.
For the Mithril Rhythm Stick, you will first need the Schematic for it. The Schematic can be found in the lake in Rivendell. You will need a boat to reach the area. Follow the studs to find the route that leads to the Schematic. Once to reach the pilars, you will need the Fire Cracker bow or Saruman to break the chest. To forge the weapon, you will need to head to the Blacksmith in Bree.
The Dance Boots are also located in Rivendell. You will need to activate three switches to earn this Schematic. The first two switches are on top of the ropes that only elves can reach, and the final switch is at the very right of the cave. You will need to shoot arrows to make a swinghook. To forge the weapon, you will need to head to the Blacksmith in Bree.
Also bear in mind, that you can purchase any kind of loot that is required for forging weapons from the "Dwarven Loot Dispenser", just North of Erebor (where you always spawn at when you load up a save).
Once you have all three items, equip them onto any character from the "Treasure Trove" in your wheel menu, and the trophy will unlock.