Hmm, I just tried this and it doesn't seem to work for me. They still take full damage even with the shield on. They change this in a patch maybe?
Ah well, this will likely only be an issue at the start until I get enough leadership for a larger army.
Right now I'm in Freedom Isles and have a high intellect, low leadership mage. I got lucky and found some Black Knights in a tavern and sacrifice scroll in a chest in combat.

So I decided I wanted to try an all undead army at the beginning.
Only way I can reinforce my knights and vamps though is sacrifice, and it was killing half my ghost stack.
Guess I'll find some living fodder and take the losses.