Instructions
Follow the main story campaign, defeating the boss characters as you go. While you can re-confront defeated boss characters, every time you defeat one for the first time, he will drop an Omega Piece.
Confront and defeat Dread Joker near the end of the main storyline. Dread Joker is the most powerful enemy in the game. His missile attack is almost unavoidable. Having your TitnGlve equipped makes shooting the missiles down possible, but difficult. Use your Mega Buster to attack him immediately before and immediately after he attacks.
Check your inventory once Dread Joker goes down. You will have been given the last Omega Piece.