First of all, make sure you have the Armor on shortcut (to do this equip your Armor, then unequip it and press down on the D-pad to re equip the Armor).

Find a high building. When you are at the top of the building, fully charge up your jump and then jump off the building.
Then glide without the Armor on. As soon as you are gliding, press down on your D-pad (shortcut to Armor) and Alex will morph into his Armor state, however he will still be gliding.... enjoy!