Life Capsule Locations

First Cave (+3)
Left-hand wall as on your way to the hermit's cave.

Yamashita Farm (+3)
At the end of the farm near the water.

Egg Corridor (+3)
Near the entrance of the Egg Corridor.

Egg Corridor (+4)
Above the first save room entrance.

Grasstown (+5)
Near the first section of the stage an alcove above next to where the star block and big jellyfish lie.

Grasstown (+5)
Inside the room called the Execution Chamber.

Sand Zone (+5)
In the top-half section of Sand Zone near the sand traps, star blocks and Polish (The floating face enemies that split into mutiple smaller versions of themselves.)

Sand Zone (+5)
In the end of a long secret passage corridor close to Jenka's house an just below the two moving blocks that were dispelled after the fight with Omega.

Labyrinth (+5)
Halfway up the first room of the labyrinth, just before the moving blocks.

Plantation (+4)
In the top-leftmost quadrant of the Plantation.

Plantation (+5)
After gaining access to the Final Cave, jump off the rocket and make your way over to Jenka's dog, Hajime, sitting on the platform just before you enter. He will give you a life capsule, and a life pot as well if you don't have one.

You should have 50hp by the time you reach Last/Final Cave if you got all of the above life capsules.

Bonus Life Capsule (+5)
Located in the Sacred Grounds secret stage as you make your descent from first area.