Like Macguba said, EH's seem to be the only solution.
This AddEventHandler ["Hit", "(_this Select 0) SetDammage 0"]; This AddEventHandler ["Killed", "(_this Select 0) SetDammage 0"]
Just add that to the unit's init. field so he won't get injured when he gets shot.
Note: Sometimes they might die of an overload of attacks, I was testing this out and two guys were constantly firing, one threw a grenade and I died. This is your best bet for invincibility.
Beware the GrimMonkey