Your first Health Upgrade is virtually unmissable after you defeat the Wind General and teleport out of the area. On the path right in front of you is the upgrade, which takes the form of a floating canister.
There are a further 2 upgrades after you defeat the other 2 General bosses and another can be purchased for $5000 at the Underground Supplies shop in the Zameris area (it's on the opposite side of the chasm from the town).
I've been using this video guide series
and it's been pretty good. Not mine - credit to Youtuber "WishingTikal"