There is a Steam Bug in every scene of the game. In case you missed some, you can see here where you need to go. If this is your second play-through, you only need to collect the ones that missed the first time around to get the achievement. The bugs are listed in the order I encountered them in the game. I have added spoiler comments for bugs that are initially hidden. Note that the color of the bug may be different in your collection box from what it was in the game scene.

Happy hunting!
--mendel

Tabera Formica: Geerwheel Inn
Papyrus Phagus: Corridor
Xyleborini Ips: Ink's Room
Nix cimex: Gate
Pulveri pyrio ips: Zeppelin Landing
Horae bruchus: Room 2
Vapore lucernae odonata: Main Street interact with the lamp post when assembling the shovel
Vesica philia: Cargo
Sextant formica: Cockpit
Zwephyrus Odonata: Exterior
Nonvolans bruchus: Balcony

Hortus cimice: Crash site examine the lantern
Carcer bruchus: Dungeon
Tineam coquina: Kitchen
Golemus Parasitus: Downstairs Lobby door from the kitchen
Coccinellidae orbi: Salon
Sphinx vespa: Upstairs Lobby
Erratum phagus: Library
Fulmen ips: Hidden Room

Rhino bruchus: Cave Entrance
Lux fungi philis: Bridge
Threma Vespa: Storeroom under the flag
Lava formica: Factory
Numera cimica: Machine examine the ladder
Talpa cicada: Cell under the bed-cover
Myriapoda farina: Office
Tremor Musca: Central Part
Vapor Venator: Right Balcony
Caementum cimica: Left Balcony
Fulgur Vespa: Machine Bowels