You'll need to place the Automatic Rocket, Delay Rocket, Tow Rocket, Button-Activated Rocket, Dart Rocket (all located near each other in the list), the Rocket Ride Car (near the Amusement Park items, by the roller coaster car), and the Booster Rocket (with the Outer Space stuff) in a challenge. Scoretacular challenges work best, as there is usually no limit to the number or type of items you can place.
Please note that the rocket must "activate" or take off. Most rockets will do this on their own, but the button-activated rocket needs something (a ball or anything effected by gravity) to push the button.
The last rocket you need (Booster Rocket) unlocked for me after Challenge 7 in Outer Space II, so it'll be one of the last achievements you get.