The four sub-tanks (E-tanks from Mega Man) are vital to surviving Sigma's Castle ... Of Death. Hahahahaha. Once you get a sub-tank, you refill it by picking up life energy when X's life is maximum. Armored Armadillo's shield, when powered up by the upgraded X-Buster, is best for this (use on small enemies).

Storm Eagle: Go to the area with fire turrets and move past them to the left to find Sub Tank.

Spark Mandrill: Go down the first ladder and keep going forward until you hit a wall. Use the Boomer-Kuwanger's boomerang to get Sub Tank.

Armored Armadillo: Wait for the first Spike Tank to pass you and enter the room that it was once in to find Sub Tank.

Flame Mammoth: When you are inside the room with the Heart Tank go to the top and Dash off the left side. Then you will be in an area where you need to hit the ceiling with your helmet upgrade to find Sub Tank.