Find the large things with a Blue cover on top for the parts of X's Armor. Their locations are as follows:

"Lava" Stage (Amr): Look low for it in the first phase of the stage. It will be under the third or second bridge where a huge Dragon appears.

"Air Forces" Stage (Body): Look in the maze-like room in the second phase of the stage. When you get there go Left.

"Cyber Field" Stage (Head): Use the portals to reach it in the second phase of the stage.

"Deep Forest" Stage (Legs): After the "spike" area, there will be two stone spitting rocks.
Use these two rocks to jump up on top of the left area of the tree branch.