General
All of the effects can be collected by entering the nexus doors and travelling down and to the right. The area with the High Heels effect should be visited last (through the window), as you cannot escape without waking up.
Despite there being four effects, only the No Body effect is necessary to beat the game. No matter how many effects you have so far, getting that effect will always give you an item that triggers the ending. (Instructions are on the item description.)