You only need a warehouse when building your forge. After you have built your forge you can demolish your warehouse.
When plundering an army takes your resources first and gold second. If you hide your resources in your warehouse they will take your gold instead of your resources. Since 1 gold is usually equivalent to 5 to 10 of any particular resource. On a new server I can buy about 5 lumber for 1 gold. I can buy about 11 food for 1 gold. So gold is infinitely more valuable than other resources. Even on old servers gold is still valuable as you can use it to buy food to feed your giagantic army.
Another reason that building warehouses is dumb is because I can still take your town and get your resources that way if I want too!
For more information on these strategies check out the advanced Evony guide.