Thanks to Klima for helping me find the fairy in the penultimate stage! I couldn't find that one anywhere. Hope this helps other people.
First stage - she's hiding in the tree on the left.
Second stage - Just before the second lot of digger things, just before that big scoring opportunity with lots of circular saws. She hiding on the bottom right of the platform.
Stage 3 - After the start of the stage where you're flying in the air, you get into the first space ship and it's at the top left of the big hole in the floor.
Stage 4 - There is a platform with four turrets on it that shoot blue bullets and it's on the right of the platform there are the top.
Stage 5 - on the the bottom right of the huge square platform just after the robot guys with the homing lasers start turning up.