Each level (with the exception of Boss Levels: Level 5, 10, 15, and 20) has 4 letters: S-I-G-I
that you need to collect. Most of these are in plain sight or require a light amount of platforming. However, a few of them are found in caves. These can be tricky if going for 100% completion in one playthrough because if you die (miss a jump, fall in water, etc), your character will appear outside of the cave and you cannot re-enter which really makes the following even more missable:
With that being said, most letters are very obtainable and will not pose a problem. The game keeps track of each letter collected at the top of the screen. If you you collected the letters “S” and then “G”, you missed an “I” and will need to backtrack before exiting the level. Finally, when all letters for the level have been collected, they will blink and then movie to the left of the screen and disappear.
Please comment below if you need further help or advice and good luck!
Edit (3/1/2019): You can track your progress for each level by looking at the world map. Once all 4 of the letters have been collected, 2 asterisks will appear next to the level's name there. Thank you to NuttySandman123
for pointing this out!
Edit (3/9/2019): Added referenced achievement link/pictures
Edit (3/24/2019): in addition to the edit above, each level on the map will show you its name if complete like *level1* with the exception of the tutorial level which is displayed as the castle on the map. Thank you to Golden Sequence
for pointing this out.