There is no one road to success. Each one must find that which works.
What is this "that"?
That which is a literary equivalent to the one which: not many people use it in speech.
So that is a pronoun (equivalent to the one or the thing), antecedent to the relative pronoun which.
In this context, it means "that one", "that specific road".
"Each one (that is, each person) must find that (specific road) which works."
Sorry this is a short post, it's all I can find to say about it.