Pythonic
X = X[:, :, None]
which is equivalent to
X = X[:, :, numpy.newaxis]
and
X = numpy.expand_dims(X, axis=-1)
But as you are explicitly asking about stacking images,
I would recommend going for stacking the list
of images np.stack([X1, X2, X3])
that you may have collected in a loop.
If you do not like the order of the dimensions you can rearrange with np.transpose()