Don't give up -- Just keep practicing! You should get an auto-save just prior to or just after activating the third part of the prophecy. If you've managed to get all your stalkers up until that point, you can continually reload from there until you succeed.
Other Tips: Just keep running. Don't stop to fight, kill nydus worms, etc, anything. Your first blink should be into the lowground "pit" with the zerg defenses. Stun one with Zeratul and then just charge up the ramp -- you'd take more damage going the long way around.
Blink over rocks when you can, but when you get to the set of two rocks, blink in between and destroy the second pair (the zerg will have to stop to destroy the first set)
When in doubt, blink!
Edit: I just completed the mission again today, and can emphatically restate that you do not want to take the suggested route (delimited by the arrows on the minimap) but cut straight through the little zerg base in the pit. Just keep running, and you should be able to escape handily (Just be careful about where your units are before you blink -- I wound up only saving 5 of the 6 stalkers because one poor fellow misjudged the blink distance and wound up having to go the long way around. :( )
Have your units meet up and wait for each other at various points along the way during your push, especially right before the attack so you can get in position. You just have to keep them together and tell them exactly where you want them to go. Xel'naga towers are good spots to rendezvous on your way over to the enemy as during that time period you get some extra vision which has saved me countless times when the enemy was also pushing as I was able to see them first and run my faster units back to my slower ones to intercept the enemy as a group. Even with all units of the same speed sending them straight into the enemy base in a line is going to cause trouble, you want to keep them all together.
Best Answer
This is a common stalker micro technique, especially useful for scaling cliffs in a group and other precision-demanding blinking.
Order your stalkers to move to a location, then use shift to queue a command to blink from there to your desired target. This way, the entire group will blink, but each unit will do so only when it is in the location you determined with the first move order, ensuring that all Stalkers reach the intended destination.
So in the video, the player right clicked the end of the near ramp, then shift+[blink hotkey]+left clicked the far ramp.