From what I've been reading, the general consensus (using that term loosely, it is very debated) is that Spellskites/Redirects do indeed save illusions. I think the logic behind this is that the redirection of the targeting is an action that goes on the stack on top of the original targeting, thus resolving before the illusion is targeted. So basically the controller chooses what the opponent is targeting, and hence the illusion is never targeted.
Permalink
Seems nice, but wondering why no redirects? and perhaps Spellskites instead of Wurmcoil?