First, complete the game. Start a new game in Headshot Mode (for Dr. Lobotomy), Time Attack Mode (for Catch Me If You Can) or Close Combat Mode (for Butcher Would Be Proud) and play the first two scenes of the first level and complete them. When the third scene loads, quit to main menu. Go to Unlocked Acts and click the final level, select any character, then select the same difficulty you had it on before. Ignore the message and begin the level. Now you just have to complete the whole last level, and you can even use cheats throughout the level -- just not on the last scene where you fight Immortal. Repeat for the other achievements.