This is pretty easy to get, honestly.
For Road Dog, you have to play at least one song in every venue. Each city tends to have 3 venues, but there are some cities that only have one venue, making them easier to go through.
Sometimes, you will need to unlock a certain number of things before getting access to certain venues (x amount of fans, x amount of total stars, x amount of stars in a city, x hired employee, and x method of transportation). I would suggest waiting until after getting the achievment for gaining world access before attempting this achievement. By this point, you'll have plenty of stars, fans, and everything else. Then all it comes down to is playing a shit load of songs. Take everything one city at a time so it's easier for you to keep track of how you're progressing. The first venues tend to give you a certain number of single songs, a short make-a-playlist, and a short mystery setlist. The third venues tend to be all set lists of a mininum of 4 songs.
To keep getting stars for unlocking venues in a city, just make set lists and play songs that you know you will get 5 stars on. It also helps to hire certain people for certain areas of the world. Some people have abilites that allow you to play venues before you really should. So, if you need venues in San Fransisco, hire the West Coast Promoter.
Of course, there is also a very easy way to do this. If you happen to be a part of a band that is pretty far along (or is further ahead in getting the achievement than you are), go ahead and play with them. Some friends invited me into their game and after two songs, they completed their last venue and all of us got this achievement. If I had been playing on my own band, I would still have to go through a number of other venues.
Method 1) After getting access to everywhere in the world, just start taking things one city at a time. For getting stars in cities, make setlists of songs you know you can five star.
Method 2) If some friends invite you to their game and they are closer to getting Road Dog than you are, feel free to join. If the band finishes every venue, everyone gets the achievement, even if certain individuals didn't play at every venue themselves.
EDIT Feb. 2nd: It's come to my attention that Method 2 doesn't work. You are still free to try that method, but be warned that the achievement may not unlock. Sorry :(
DOUBLE EDIT: Feb. 15th: Okay, so Method 2 still works, apparently. Feel free to try it with your friends. :D