Readme: Copy the submodule note to non-Windows sections

Pulling submodules is necessary now that mGBA is integrated.

Perhaps having the same submodule note repeated three times in the
different sections of the readme file is a bit odd, but I don't
know of a fitting section to put it in that isn't OS-specific...

Readme.md

@@ -63,6 +63,11 @@ bundled with Dolphin and used if they're not installed on your system. CMake
 will inform you if a bundled library is used or if you need to install any
 missing packages yourself.
 
+Make sure to pull submodules before building:
+```sh
+git submodule update --init
+```
+
 ### macOS Build Steps:
 
 A binary supporting a single architecture can be built using the following steps: 
@@ -123,6 +128,11 @@ Or useful for having multiple distinct Dolphin setups for testing/development/TA
 These instructions assume familiarity with Android development. If you do not have an
 Android dev environment set up, see [AndroidSetup.md](AndroidSetup.md).
 
+Make sure to pull submodules before building:
+```sh
+git submodule update --init
+```
+
 If using Android Studio, import the Gradle project located in `./Source/Android`.
 
 Android apps are compiled using a build system called Gradle. Dolphin's native component,