There is no subway to Sugar Loaf in Rio de Janeiro. In fact, the Rio subway, which is mostly underground, has only three lines that basically crosses the city. If compared to other major cities in Europe, Rio has actually few stations.
The closest subway station to Sugar Loaf is Botafogo Station, but you would need to walk approximately 20-25 minutes to get to the Sugar Loaf cable car ticket office in Urca Neighborhood.
If you are on a budget, instead of taking the Subway to Sugar Loaf, take bus # 511 from Copacabana, Ipanema and Leblon. Otherwise, take a taxi, which is inexpensive and safe, departing from one of these three neighborhoods or other nearby.
Click here for photos of Sugar Loaf in Rio de Janeiro, Brazil, as well as for information on the Sugar Loaf guidebook.