I chose a mage lord, and want to use a mage as my main battle unit. I am familiar with use of the Pegasus Knight, but want to try the mage for weapon immune enemies.

I have the mage hero in back, a cleric in back, and an archer in back. Which leaves my squire alone up front to take a severe beating. As I said, I am used to to Pegasus Knight up front to help the squire. Putting the mage hero up front with him seems like a bad idea. Any suggestions? My squire can't last against the tough enemies. Thanks

I'd suggest ditching the archer and instead going with two squires (at least until you're able to have 5 or 6 units in your army).

Your Mage Lord will be able to take out back row threats en mass just as quickly as an archer would have been able to handle them (and once you're able to upgrade to assassins, which are actually worth the army spot, you should have room for 5, if not 6 units). As for Knights vs Witch Hunters it depends on the scenario and how high you're able to upgrade. Up to level 3 units I tend to prefer the Witch Hunter upgrade path, unless I know I'm not going to be facing any enemies that use mind attacks. However, for level 4 units the knight upgrade path simply blows away the Witch Hunter upgrade path with the Defender of Faith (30% damage reduction), or Holy Avenger (massive damage).