I would have to agree that Immortals are better for a small size unit than warriors. Generally, I've had better results with them at least at 8 strong, but I haven't tried such a small squad.
Now, I say this, but I haven't been using Immortals in my games lately, going for mass groups of warriors, so take my opinion with a dose of salt.
Do you have a regular opponent where you can play a few games with, testing out these units? Or perhaps include both in the same list to see how well both do. Then you could share your experiences with fellow Overlords.