Biological and artificial embodied agents behave by acquiring information through sensors, processing that information, and acting on the environment. The sensory apparatus, i.e., the location on the body of the sensors and the kind of information the sensors are able to capture, has a great impact on the agent ability of exhibiting complex behaviors. While in nature, the sensory apparatus is the result of a long-lasting evolution, in artificial agents (robots) it is usually the result of a design choice. However, when the agents are complex and the design space is large, making that choice can be hard. In this paper, we explore the possibility of evolving the sensory apparatus of voxel-based soft robots (VSRs), a kind of simulated robots composed of multiple deformable components. VSRs, due to their intrinsic modularity, allow for great freedom in how to shape the robot body, brain, and sensory apparatus. We consider a set of sensors that allow the agent to sense itself and the environment (using vision and touch) and we show, experimentally, that the effectiveness of the sensory apparatus depends on the shape of the body and on the actuation capability, i.e., the VSR strength. Then we show that evolutionary optimization is able to evolve an effective sensory apparatus, even when constraints on the availability of the sensors are posed. By extending the adaptation to the sensory apparatus, beyond the body shape and the brain, we believe that our study takes a step forward to the ambitious path towards self-building robots.