micro your infantry carefully so that you don't send them into immediate danger. they are not vehicles with a lot of health.
as the above comment says, a lot of infantry have defensive measures to keep them alive for longer, and a lot of them are actually fairly tanky, just don't run them straight into the Shenlong
try and make usage of transports to get them to front line where they can support your vehicles or flank enemy artillery or t2 aa.
finally, they ARE the cheapest units in the game, it makes sense for them to die to a lot of things. But that does not mean they are useless.