If the utility has grounded XO at their thransformer, then 250-24(b) requires that you bring a grounded conductor to the service equipment. This conductor is sized per Table 250-66 or the 12 1/2% rule for services with service conductors exceeding 1100 kcmil. This is the only path for fault current to return to the transformer in the event of a ground fault. Once you leave the service equipment and run feeders to the sub-panels, the grounded conductor is only required if the sub-panels are serving line to neutral loads. In either case an EGC sized per Table 250-122 must be installed between the service equipment and any sub-panels.