I had the same problem with my DKs. That cobalt set felt like paper on the first boss.

I have plague strike in front of icy touch in my rotation. I read somewhere that was best. Can't remember where.

Maybe try adding some heavy borean leather and some enchants to them. My dks are still sitting at lvl 70 and probably won't pick them up for a while. Think I'll get my locks to 80 then grab my druids and get them leveled.

I am currently at level 446 in enchanting. Let me know if you need any. Just bring mats.
Enchanting