You can get this quickly enough in the first stage, there are random shields that act as health indicators. One can be found in the village after you've dealt with the Romans, it can be a little finicky but with some careful jumping you should get it. Another is in the cave and another is outside the cave on a rock shelf, you should see it in the cut scene that happens after entering the area. You'll find more over the course of the first stage and can always backtrack if you need to upon re-loading into the game should you quit out at any point.
The maximum number of shields you can get at any one time are six and I came across something like ten or twelve of them in the first stage alone, you start with three.