Cling Ring In the first level after you get to the top of the castle, you'll fight a blue demon knight that's right in front of a fog gate. Beat him then go past him, not into the fog gate, and go down the stairs, when you reach the bottom there will be a lever to open the gate and you will find the Cling Ring which lets you keep more health when in soul form.
Thief Ring After the first blue demon knight, go through the Fog gate, and you'll come to some stairs and you'll see over the ledge will be a gold knight. Roll down the side of the stairs to the ledge to get to where he is. The Thief ring is located behind him in the corner.