ATTENTION!!

***This article contains spoilers, so it is suggested to read it after finishing its current version! ***

Inside this game, "Soul Weapon" is a special weapon that is usually well hidden inside the stages of each Hololive Member. Lore wise, the existence of these weapons is explained like this: When the girls were imprisoned inside crystals to become the heart of a small dimension, a portion of her "soul" was separated from the control of the bad guys and became a weapon, so the Myth girls would find it and use it to help save everyone. Using Crystals (which is basically the currency of the game) the weapon can evolve into a stronger form, and the correspondent idol changes into her stronger Class. 
Now, if you have problems finding all of these you could just finish the game, and winning in the Extra Mode you would get all the weapons you lack. Otherwise, you may consult this guide here to make your journey easier!
Note that the Myth girls' weapons are not Soul Weapons, those are weapons they had already with them, to begin with (so you will get those as the game proceeds in unavoidable events, so you will not miss them). 
Also, Coco is the only one that doesn't have a weapon because, again, she was not "separated" from her soul considering she arrived in this weird world after it manifested. 

1. Marine: In the middle of the first stage, there is a cracked wall, close to a hole in the floor. Interacting with the crack will open a secret room, where you find the Hoshou Hammer. Upgrading it will split into two weapons, Jack's Blunder and Seven Seas Sword.
2. Risu: In the top left of the forest stage, there is again a cracked wall, interacting with it will open a hidden prison, in which you find Ayunda's Magic Rod.
3. Mel: Towards the bottom left side of the first castle stage, there's a path that leads to a cracked wall. Inside you find the Vampire Killer whip, which evolves into the Makai Tensai.
4. Lamy: In the crystal cave stage, on the bottom right side there is the hidden room behind the usual cracked wall. Inside you find the rod Yuniiria's Lady.
5. Aqua: In the city stage, there is a building in the middle left side of the stage with an opened door. Inside you find the A.P.EX Laser Gun, which evolves into the A.P.EX Assault Rifle.
6. Azki: In a space-like stage where two statues stand above the place you are teleported when entering the stage, if you interact with them and select the kanji for the word "Seiso" (清楚) you will receive the Diva's Microphone, which evolves into the True Idol's Microphone.
7. Subaru: In the middle of the seventh stage there is a large rock with a crack on it, you find the Sausage Sword, which evolves into the Shuba Shuba Sword.
8. Choco: In the middle-left side of the map you may notice there is a section that has a roof of reddish color. Finding your way through the labyrinth to that point will make it easier to find the brick wall, which has clearly a texture difference respect to the rest of the stage. Inside you find the Demon Ring, which evolves into the Demon Queen Ring.
9. Aki: On the right side of the garden-like stage, there is an aperture inside a green area, which leads to the hidden area, where you find the Muki Muki Arms, which is from a gauntlet evolves into a melee weapon called Key of Hearts.
10. Nene: In the bottom left side of the second city stage, there are many houses, one of which has an open door. Inside you find the Super Nenechi's Bear Paws, which evolve into the Super Hyper Mega Ultra Bear Paws!
11. Polka: When you access the tent in the circus stage, you will find a lot of fake doors and a lot of Zain enemies walking around! There are two actual doors, the first is top left and guides you to the next part of this stage; the other door is top right, you recognize it because it is on the right side of the column instead of the left side like all the other fake doors. Inside you find the Circus Master Whip, which evolves into Polka's Legend Whip.
12. Ollie: Ollie has already her weapon with her (stuck in her head lol)! It is called the Nameless Sword, which evolves into the Zombrades Sword.
13. Luna: When you surpass the candy land area of her stage, you go inside a castle. On the right side of the stage, you find the weapon inside a jail. You can find the key to open it, interacting with a stuffed bear on the middle left side of the stage. Her weapon is the Himemori Scepter, which evolves into the Himemori Ruler Scepter.
14. Shion: Her weapons are actually not inside her stage, but already equipped to her! Her weapon is TheGrimoire of Shion,  which evolves into Mage of Violet.
15. Watame: In the flaming hellish-like stage you need to walk all the way to the bottom right to get to the usual cracked wall. Inside, you find her Tsunomaki Arp.
16. Okayu and Korone: Her weapons are in the same stage, you find them immediately inside a prison jail. To unlock the door you will have to walk towards the bottom right side of the stage and then walk upwards. Inside a jar, you will find the key. Okayu's weapon is the Nekomata Claws, while Korone is the Yubi Slayer.
17. Pekora and Moona: Probably the less intuitive to get. Inside the stage, there is a tower with 10th floors, each floor has a library. If you interact with a certain section of those libraries on the floors 1st, 3rd, 5th, and 7th, you will both Pekora and Moona weapons and equipment. The Pekora one is called Carrot Bazooka, while Moona is the Moonlight Sword.
18. Reine: When you complete more than 12 stages, Reine will be able to fight with you. At that moment, she has already with her the Peafowl Lady.
19. Anya: Anya doesn't have a Soul Weapon, she IS the Soul Weapon!! Her Ultimate Skill makes her transform into her Keris form so, until the end of the battle, an ally will have her equipped as a weapon (which almost every character can equip her)