Head gasket replacement is a lot of work, and money in parts. Consequently, you need to be sure it's the problem.
That means spending some time, and probably money, on proper diagnosis.
The chemicals that check for combustion gases in the coolant are probably the place to start as they're quick, cheap and easy to use without any dismantling.
I'd do a pressure check on the cooling system for similar reasons, although you need to remove the spark plugs and check the bores with a camera to be thorough.
A leak down test is the definitive method, but requires some costly kit and a lot of time - you could probably lift the heads off a Ford OHV V6 in the time to do this test on an X30.
My 3.0l exhibited similar symptoms, in that it only lost water after switching off, but briefly produced noticeable steam from the exhaust when restarted from cold. The cause was failure of the gasket at rear of the RH cylinder head, although the LH one wasn't much better - that cylinder was cleaner than the other two, unlike the RH which looked like it had been steam cleaned.