1st Soul, MacSagart: Inside the church
Go into the church, the first building to the left from the game start, talk to the priest inside. He will give you some candles. Down and x to light a candle. Light a candle to the right of the priest on the pedestal to open up first ghost area.
In the catacombs below, there are four bunches of tulips. Light candles under each bunch, counting up. So first candle under the single tulip, second under the 2 tulips etc. Ghost appears. Chase it around to bring down its hp.
Priest will now unlock the graveyard for you, the fenced area just left of the church.
2nd Soul: Crypt (Graveyard)
Inside the graveyard, go left. Enter the little building/crypt. It is dark. Use your candles to light the way. There are 5 spots where you can put candles, marked with arrows and circles. Crouch down and x over a candle you've put down to pick it up again. Once you've put down the 5 candles, catch the ghost.
3rd Soul, MacMurlach: Graveyard
At the very left of the graveyard is a cat. It runs away if you light a candle next to it. Chase it to the right until it runs past MacMurlach's grave, then catch the ghost.
4th Soul: Graveyard
The third grave from the right on the first graveyard screen doesn't have a name, just instructions. Follow them, lighting a candle to the left of the grave, to the right of the grave, then jump on top of the grave. You should fall down into a little underground area. There is another grave, saying "All onto me" and some bugs running around.
The bugs turn around when they get to a candle. By placing candles on both sides of the grave, progressively closer, you can get all the bugs to be on top of the grave at the same time, releasing the ghost to catch.
5th Soul, MacJohnson Grandfather: Graveyard (right)
At the lamp outside the house of the gravekeeper, a moth is flying around. It will fly to nearby candles. By placing and picking up candles, you can lure it to the MacJohnson grave, releasing a ghost to catch. Don't put the candles too far apart, or it flies back to the houselamp.
6th Soul, MacDoid: House with no Door
The house actually does have a door, it's just hidden, slightly on the left side. Inside, the house is dark. If you light a candle and move, a giant hand catches you. However, it doesn't if you don't move. Use this to your advantage to place candles to see the platforms, then pick them up and jump. Go to the top and light a candle on the pedestal. Then catch the ghost.
7th Soul, Traveling Fish: Fish Statue
Place three candles at the fish statue then kneel down. It will rise up to reveal a chamber. Place candles in the chamber according to the moon plaque story. Mountain -> Snowflake -> Cactus -> Tree -> Moon. Catch Ghost.
8th Soul, MacJohnson Grandmother: MacJohnson House
In the House with the man, woman, girl, baby and portrait, left of the Fish Statue, is the ghost of their grandmother, who wants to see everyone's faces. So put a candle next to each of the man, woman, girl, baby and portrait to show their faces in the dark and catch the ghost.
9th Soul: Barn
Notice the patterns in the windows inside the barn? You need to make sure all the patterns exist by putting candles on the platforms.
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10th Soul: Tower
Protip, you can jump on the top background pillars in the hilly area. You need to jump on a short one to get all the way to the left. Go left to the Lumberjack's house, jump on his lumber pile then on his roof, then jump right on the pillars to get to the top of the tower where you can enter.
You need to use candles to get rid of all the fog inside the tower, then catch the ghost.
11th Soul, Wanderer: Cave
Go left after jumping on the Lumberjack's roof, and enter the cave. Inside the cave, wait and do not light any candles. A monster should come closer to you. Light a candle when it is right next to you then catch the ghost.
Go all the to the right where you began and light the soul Lantern. Catch the Banshee! (It's pretty simple)