Like all the other "Conquer All" cheevies in this game, the best way to get all the territories is to play the first few turns building up however you want, but skip the battle. I usually did it for 5 turns (dont make alliances). After that, youll see who the most powerful armies are because they have conquered a few territories. Then, start working your way through them, the best way to conquer a group of territories is to conquer the one the leader is occupying, the "Capitol" once the leader is dead, all his territories are yours. Do this for the rest of the territories, then when you beat it, you will be asked if you would like to save. Do so, and youll get the achievement.