You can only capture souls equal to or less than your character level, so you will need to level a character up to level 10 first.
After the tutorial, you can capture souls by filling your blue mana bar and using your ultra attack (regular plus special attack) on them. After capturing them, you can press
to turn into that creature.
Likely creatures for this achievement:Peacock Warrior 10
Sea Queen 11
Stone Golem 12
Wood Golem 15
Camahueto(Ice Cow) 15list of all characters/creatures:http://abyss-odyssey.wikia.com/wiki/Category:Characterslist with soul levels:http://steamcommunity.com/app/255070/discussions/0/430997212...List By Level (credit to steam link above):