In the vast majority of the series, you are going to be able to find Persona in the dungeons that you visit in each respective game. How you unlock the Personas will differ for each title, but the general idea is to head to the dungeons to find new Personas to add to your collection. Each dungeon only has a select number of Personas that are available to them, so once you have all of them, it is time to head to a new location. This is also the case for multi-floored places like Tartarus and Mementos. The floors in these places are grouped into designed areas, and moving to a new area will give you access to new Personas to collect.