If you lose a life in Battle can you roll for each of the armour items that you have? For example say you had all three, you'd first try to save on a 4+ (Armour), if that failed save on a 5+, then a 6.

Or do you just choose one armour item to save with? (Obviously your best one). I've been playing the latter, but not sure if this is right.

The rulebook says you can only use one Armour at a time, so obviously you can only use one.