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The AI is targeting my thief and engineer, which are vulnerable since they cannot lead other units.
How do you protect such units from the AI?

I am playing the first Mountain Clan Saga.
But Engineer is capable of taking with him units (initially up to 3), only leader without possibility to take units is thief (rod bearers is capable of taking one unit). So maybe you're referring to Dwarven Champion (rod beareer) and thief?

Nevertheless - I've got to admit that those two unfortunately will die quite often in the game, as they're no match for "usual" leaders with their crew. I personally tried to limit losses of rod bearers (in all campaigns) by clearing the area with my "main" character", then, when it's safe, I've used rod bearer to remove enemy's rod or to plant my rods where necessary. And continue with clearing next "area" of the map, then make the order with rods, etc.

Regarding thiefs... I admit that I didn't use them at all. Well, maybe except some situations when I could deal with loss of gold necessary to hire thief, in order to poison some very hard to defeat enemy/city. Sometimes, if you have some spell to give more move points, you can use it to flee to some safe place, but it won't help for summoned creatures (except situation when you'll run away with thief, but even then it's quite risky.