Instead of having your Colossi in the back with your Stalkers (and Sentries) in the front, you want to instead do what is known as the "Protoss Death Ball". The Death Ball utilizes Colossi roughly in the middle of a force consisting of any other type of ground unit (mostly Stalkers, but Sentries, Immortals and even Archons are good).
The Colossi should be in their own control group, and effortlessly move around INSIDE of the death ball while engaging the enemy. The advantage here is that, should your Colossi be targeted by enemy air, they can simply move to the back of the death ball, and Stalkers that are not being utilized in the back fire on the enemy air that is forced to move through your death ball.
But what if the enemy air flanks your army? Simply move the Colossi to the opposite side of the death ball to the air, always forcing their air to move through your death ball. Having a control group of stalkers dedicated to moving away from the battle to focus on air is also a good idea.
Having blink for your stalkers also helps to allow you to shape your death ball in real time, focusing stalkers either into the front when there are no air threats, or to the back to protect the Colossi. Liberal use of force fields or zealots is also a good idea to keep the enemy ground away from your death ball. Remember that the Colossi are doing the bulk of the work is taking out enemy ground, which frees up Stalkers (and other units) to deal with air and act as buffers for the Colossi.