Lornis

Hey guys, I am new in PoE world, and so far I am having a blast with the game. I tried a first run that I did not finish in easy mode and that was too easy so I started a new one in veteran with a new character. And I have an issue, which is the main differences with the easy mode, is that my squishy character like Aloth or Teheku just get rekt at the beginning of the fight every time. I just won the fight with Eder, the Paladin girl and my main (Warlock Berseker/Transmutater) but my caster are just slaughtered by a few bullets or arrow or magic projectiles before I do anything. And it is not fun because I don’t have any opportunity to protect them (when the fight just starts in the middle of nowhere and you got no time to buff or placement like in boat battles). So they just take dommage for like 5s, drop dead, and my close combat tank do all the killing while surviving. It is to the point where I just think I should put five martials in heavy armor in my group. So any advices? What do I do wrong? Like I said I am still a noob so please keep in mind I have probably not the level of many pro builders here. Things that could seems obvious for you are probably not for me.