A guest editorial by BBF from Terminus Est.
Quite a few people (un included) misread the Look Out, Sir rule. BBF here does a good job of clarifying how it works.
The term unsaved wound only comes into play when you have a unit that all models have the same armor save. This is when you can allocate a wound after a failed save.
(Example 1) 10 tactical Marines suffer 10 wounds and they fail 3 armor saves. The sergeant is the 2nd closest model. The closest model dies first then the sergeant can allocate a wound on the roll of 4+ on 1d6. If successful you can transfer the wound to another model, if not, the Sarge dies.
(Example 2) 5 Thunderwolf Calvary have an attached Wolf Lord who does NOT have runic armor. They suffer 6 wounds and fail 2 armor saves. The Wolf Lord is the closest model and since he has multiple wounds he would suffer the loss of 2 wounds. However you can use Look Out Sir! (each on the roll of 2+ on 1d6) to a Thunderwolf after the failed the saves. Had the Lord had a 2+ save, a wound allocated to him would be differed to another model on a 2+ BEFORE rolling his saves.
You allocate wounds before saves in a unit that has more than one type of armor save.
(Example 3) 10 BA tactical Marines are attached to a Sanguinary Priest in terminator armor. The Priest is the second closest model. The unit suffers 10 wounds. Closest model is allocated each wound 1 at a time until he makes them all or dies. In this example he saves the first two then fails the third along with FNP. Now the Priest is closest and there are 7 saves left to make. Either he can make them one at a time until he makes them all or dies, or you can use LoS rolls first. In this example we allocate 2 LoS rolls making saves on two Marines at 3+ and then 5 saves on the Priest. If at any point the Priest fails one of the five saves then the remaining wounds will now have to be saved on the next closest model, etc.