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I usually select all my workers and right-click around my base, trying to run them away from the hellions.
The problem with this is that they tend to get clumped up, occasionally getting pwned by hellion flames.
What is the optimal strategy for saving your workers?
A few days ago there was a topic on TeamLiquid about a new technique. I'm not fully convinced on how good it is in practice, but you might want to check it out. The topic is also featured on the TL main page, which gives it some weight.
TeamLiquid - Saving Your Workers From Hellions
Summary
Select all workers, press Stop, hold F1 down and click in a circle around your base, each worker will go into a different direction.
Update
Just watched ROOT.Catz losing on his stream because his almost all-in banelings couldn't kill anything due to a split that looked a lot like this.
You could always split them. Basically grab your workers and send them in 3 different ways. This forces your opponent to decide.
Does he focus on all his hellions of one group of your workers? This only kills 1/3 rather than all of them. Does he do a Hellion split? This is the best for you, you may even be able to kill all of his hellions before he gets any kills!
It takes a lot of practice, but keep in mind the hellion only fires in a line so if you can avoid bunching up in a line like fashion it will significantly help your chances of survival.
Find a practice partner online and spend an hour or so running from his hellions, this should help you get a feel for the movement required.
DON'T ever grab all of your workers and put them on a single mineral patch as this will cause them to bunch up in the worst possible way!
Hope this helps
adding to what aardvark said, doing nothing works too. Workers are well spread and moving around while mining, so if there 2-3 hellions and you have some army ready, the natural worker spread would prevent the hellions from taking pot shots at rows of workers running away. They will have to focus down one or two at a time and in the mean time backup will arrive.
Do not bunch them up, and run them to your closest attacking units. Also sacrificing a couple of them to stop the agression from following the whole platoon of workers is a good idea. Like run all of your workers and try to draw attention away with a couple of them.
