They have to all be on the same character and you have to have all of them in your inventory at the same time. I say at the same time because there have been cases of it not triggering for people. Some people even reported having to equip each item at least once for a few seconds. I didn't have to do this to get it, so I can confirm that it isn't 100% necesarry. Anyway, it takes 2 and a half play throughs to get all of them. You can have someone trade the items to you, but that is very difficult to work out and actually get to work.