So I resurrected a couple of Dremora Markynaz's, and they pack some serious punch at long range with their spells. The only problem is, they're incredibly weak to melee attacks. When an enemy gets up close they're extremely vulnerable... so is there a way to give them some armour to combat this?
Yes I do that all the time. If I find new weapons or armor I think would suit my current thrall I just slay it, search the body and transfer the equipment and then cast the death thrall spell again. Sometimes they don't put on new armor or clothes until you enter a new area though.
Funniest line ever was when I slayed my thrall bandit women for the 10th time or so and she said "Me.. again?" or something like that

Skyrim is full of surprises.
Besides, they seem stronger then normal companions and you don't have to worry about what happens to them (unless they carry important equipment). The downside is they don't sneak and the "Aaaaaahhh..." growling can get tiresome. Also don't bring your thralls to towns.