Tricky one. snYpir wrote a hard man script (I think) which means your loon will take more damage. You could run a looping script
#loop
loon1 setdammage 0
~0.2
goto "loop"
but is almost bound to result in him being shot, dying, and recovering before he hits the ground, which would look a bit odd.
I would suggest that you set up a bunch of targets behind the camera and have the shooting squad fire at them. It will look like they are aiming at your loons, but in fact they will be aiming at something else.
Depending on circumstances you make be able to give the shooting squad weapons with less stopping power.
Give the target loons maximum skill, so they run faster. Obviously the shooters will have low skill. (Unless you're using the dummy target thing, in which case high skill - so that the hit the target and not the loon - might be better.)
Or a combination of the above.
I don't know of any way to make a unit actually invincible.