Depends on what is shooting them of course.
Conceal will provide a -2 to hit with Alaitoc outside 12". Against BS3+ shooting that would mean hits would reduce from 3/6 to 2/6 which is a one third reduction in incoming damage. It is better against worse ballistic skill, making them immune to Ork shooting for example.
Protect would improve armour saves but the benefit would depend on the AP of the incoming shooting. With no AP it would reduce damage by a half, with -1 AP it would reduce damage by one third, with -2 AP it would reduce damage by one quarter, and so on.
On balance I would probably go Conceal against most opponents, but if you were facing someone with a lot of no AP shooting then perhaps protect would be worth it.