That is correct for me Andrew, no separate file. By default in VLC, each time you open a file, you have to right click, choose subtitles, then choose the language ( English in your case). If you want VLC to automatically load them, you need to go to preferences -> subtitles. Make sure subtitles are enabled, then you must type in the language in the box labeled "Preferred subtitle language" (in your case type "English" in that box, without the quotes) . Also, if you find them too small on the latest version, I suggest installing version 2.1.5 instead of the latest.
Version 2.1.5 allows you more freedom in selecting size of the subtitle font.