You don't actually need to earn a coloured gem to get this achievement. If you can get to the penultimate level (The Great Hall) and earn at least the first clear gem in the game, you can start the hidden path to the secret ending. Step on the first clear gem in the path, the one that's moving between the exit and the hidden path, to unlock the gem.
If you want to get this earlier in the game, colored gems can be earned on The Lost City (green), Generator Room (orange), Toxic Waste (blue), Slippery Climb (red), Lights Out (purple) and The Lab (yellow), whilst gem paths can be found on Jungle Rollers (green), Castle Machinery (green), Upstream (orange), Rolling Stones (blue), Cortex Power (blue), Jaws of Darkness (blue), Native Fortress (red), Road to Nowhere (red), Boulder Dash (purple), the Great Gate (yellow) and Lights Out (yellow). To unlock the coloured gem, complete the required level without dying. Then go to the level/s that gem is required for and find the gem path for the achievement.