This video shows the location of all Armor Upgrades in Mega Man X.
The video starts with the Leg Upgrade. This unlocks the dash ability. The capsule can be found in Chill Penguin's stage. You will not see the capsule in this video as I already have the upgrade. You can't miss this one; it doesn't require any weapons or abilities.
Next we'll be going for the Helmet Upgrade. This upgrade can be found in Storm Eagle's stage. You will need the Leg Upgrade. The Helmet Upgrade protects you from falling rocks and lets you break small squares as shown in the video.
Then we're going to get the Body Upgrade. This reduces incoming damage by 50%. You will need the Leg Upgrade. The Body Upgrade can be found in Sting Chameleon's stage. You will need to destroy the mini-boss first. Boomerang Cutter is great for this battle.
Finally we need to go for the X-Buster Upgrade. This lets you charge your buster to the next level and unlocks a new move for each of your powers. You will need both the Leg and Helmet Upgrades to unlock them as I do in the Flame Mammoth Stage. You will not need them if you unlock the X-Buster Upgrade in the Sigma Stage. This jump can be very difficult but it's possible!