I think I find my answer in the FAQ at the page 5.
Q: When a model/unit has a special saving throw arising from an ability that can be used whenever they suffer a wound or mortal wound, is it taken after normal saves but before damage is determined (i.e. between steps 3 and 4 of the attack sequence)?
A: No, such special saving throws are taken after damage is determined and as each individual wound is allocated to a model that has such a save (see ‘Inflicting Damage’ on the rules sheet). For example, a unit of Phoenix Guard is attacked by a Cannon. The Cannon successfully makes its hit and wound rolls, and the Anointed fail their save roll. The Cannon therefore inflicts D6 wounds in step 4 of the attack sequence. The roll is a 4, inflicting 4 wounds on the Phoenix Guard. The attack sequence is now over, and the wounds are set to be inflicted on the Phoenix Guard. However, the Phoenix Guard’s Witness to Destiny ability means they ignore a wound or mortal wound on a roll of 4 or more, so as each wound is allocated, a dice is rolled, and on a 4 or more it is ignored.