These are the locations where Virgil can be found and spoken to. You can check to see which locations you missed or still need by pressing start - Dante's journal - Virgil - press A for more information. The locations are in order so it's easy to see which conversation you missed or still need.
Just to be sure, you should make at least two saves where one save is right after the last Virgil commentary you found. If you check the journal at the next one and you missed one in between you can just reload your other save file and continue. This saves you the trouble of having to replay the entire campaign. The description off the commentary usually has something to do with the location or a event in the game, this makes it a bit easier to tell where you should find him.
Into the Blind World - Right after you climb a few demon walls, there will also be a Judas coin on a little cliff nearby.
Shores of Acheron - After you kick open a door that you had to turn a lever and break a breakable wall to get to. You see Charon and people constantly falling in the background.
Limbo - After ripping off Charon's head and getting back onto land (you had to run across a breaking bridge right before this).
Unblessed Infants - You'll get to this right after you meet the unbaptized babies with scythe hands for the first time.
Hall of Kings - Right before King Minos, the judge of the dead. Virgil will be in the corner and when entering the door before him you see him for a split second. Run to the bottom right to see him and then talk to him.
Winds of Lust - Literally right in front of the Lust Storm. On the left.
Semiramis - After the snake head that you have to break it's teeth to continue. You also receive a cutscene with Beatrice sitting in on a bed.
Helen - After killing Cleopatra in Lust, you do a few jumps and he'll be waiting for you when you land.
Gluttony - Before fighting Cerebus and after you do some platforming to get down to Gluttony.
Valley of Mud - After the room with the three mouths and before the mirror puzzle.
Greed - After descending into Greed, you'll see Virgil right in front a bunch of gold looking stuff and moving platforms.
Earth's Treasure - After getting passed the room that closes in on you and/or enemies. Right next to a demon wall.
Plutus - Right before the giant statue of Plutus.
The Wheel of Fortune - After you climb up Plutus, open the door and go across the rope, Virgil is waiting for you when you drop off the rope.
Anger - After descending into Anger, Virgil will be waiting for you.
Pigs in the Mire - After using a box to make a platform go down.
The City Draws Near - After going up the platform that you have to make sure the fire thing doesn't catch up. Right next to the rope that goes down and you'll get onto the big behemoth's head that you'll ride through the City of Dis (except that's not yet, you ride it across a pond).
Heresy - After descending into Heresy, he'll be waiting for you.
The Harrowing - Right after you go through the two hallways that have fire levers (one of which, demons try to catch you in it).
Epicurus - When you get to the main room where you're moving up a statue so it gets hit by light (the first time), you'll have to get across some demon walls and once you are passed them, Virgil will be waiting for you. It's also right before the room with 5 fire walls needing to be closed.
Three More Circles - This is after you get passed the room where all the platforms around you are breaking and falling (also known as the stalactite room).
Violence - Right next to the River of Boiling Blood, when you first get there.
Wood of Suicides - After crossing the River of Boiling Blood, Virgil will be waiting for you.
Abominable Sands - After leaving the Wood of Suicides and before entering the sandy area.
The River Phlegethon - After pushing the big piece of wood to continue on, you'll see red water/blood at a waterfall in the background. Right before the rope you descend to fight Francesco.
The Final Circle - After you get done with the Malbolge, Virgil is waiting on the path.
Treachery - Literally right at the beginning of the crumbling ice bridge (right before the final boss). He blends in with the scenery, so he's easy to miss.
I somehow missed Virgil in two play troughs and i had a hard time finding the locations in other guides or solutions. Most off the time Virgil is in plain sight but you might accidentally miss him when you are not paying attention. You can use this solution on your first play trough if you want to be sure that you don't miss him. I got the achievement on my third play trough with this solution as a guide. I hope this solution helps people who have a hard time with this achievement.
The credit for this solution goes to the user Jamby on ps3trophies.org.