So it seems people keep down voting the other two solutions.
Play the game and destroy the big hearts. I had to use my radio to find the locations of 5 of them.
My first Hero was a Sheriff so I had to defend the home of my allies and then attack the bad guys.
After killing the final boss, a small video plays and then the credit roll. 5 minutes later I am asked to select legacies. Since my first play through was Sheriff, this is my only option. I am then asked to select 3 survivors from first play through.