To get this achievement, you must connect to every character in the game at least once (except Sigmund, I never connected to him, but you may want to just to be safe). The last characters you get are Kristopher and Seraphina.
Gustav can only be connected outside in the field and all secondary characters (Savio, Dominica, Kiriya, Seraphina and Kristopher) can only be connected to in town.
To connect in town, find the character you want to connect to, and bring up the Connect Action menu (RB) while standing next to them. This will allow you to create items, or have them tag along with you in town as long as they are still connected.