Oh hell, I totally do myself. For someone with serious villain/evil inclinations, I have a bizarre habit of getting attached to my commanders. I even get attached to my troops once they become veteran enough. Its probably a bad thing, but hey, thats the game for me
That said. My strategy is moving toward having a couple of solidly equipped thugs clambering along with an army. I play a mod-side that I made that is basically bits and pieces of things that I like -- it doesn't really contain anything fancy (Well, except a unit I made, a Howitzer. Works as advertised. I'm pretty pleased with the sprite too.).. it doesn't field things like SC's out of the box but I think it does field excellent thugs if you equipped them nicely. The point is though, I try and disperse a good group of them. That way, if anything goes wrong and they get offed, there are others who can receive the love of affection of their god still.
If one gets horrormarked or some such... well, I think the best thing you can do is use 'em till you lose 'em. Long as you keep that in mind horrormarking is annoying, effective, but not devastating. Probably works best on sentimental types