You have to take your soldier on EVERY mission during the game.
If you played the tutorial, you will have to do this with the only soldier that survives it. If you skip the tutorial, it's a bit easier as you have more options.
Be sure to save before every mission in case something goes wrong and try to keep the chosen soldier out of harm's way.
If you want to apply genetic modifications to your soldier, it's also a good idea to save beforehand. You can simply ignore a mission, if your chosen soldier is not available, but why risk the panic spreading?
After finishing the final mission (Temple Assault) this achievement will unlock.