It's typically not even considered and excuse for soldiers, is it? Just because someone may be immune from civil prosecution does not mean there are not equally (or more) severe consequences in the military justice system.
Edit: my bad, in fact you can, if the order is illegal, and it has been unsuccessfully used as a legal defense in hundreds of cases. But, considering what you risk when you don't follow orders, it seems like a tought decision to take. If you don't follow orders, you are done and will probably be punished. And if you follow and you get caught it's on you and you will have to assume full responsability...
Here is more info on this subject: http://usmilitary.about.com/cs/militarylaw1/a/obeyingorders....
You don't have to work on the basis of belief, there's a lot of history on this topic: https://en.wikipedia.org/wiki/Superior_orders