I myself would translate it to : さよなら、私(オレ・僕・等等。。)の小さな戦士。
Sayonara, watashi (ore/boku/etc..) no chiisana senshi
Btw...I'm new at japanese but >.< I don't think you can say kosenshi.
but if its a nickname or title, I think you could use combination of kanji, because lots of games I play, they use combination of kanji to title people
白鳥は哀しからずや、空の青、うみのあをにも、染まず ただよふ。
美魚さんは白鳥、僕は青、ぼくらは交わらない My Anime List
Yeah, names/nicknames can use various combinations of kanji so kosenshi is correct if it's a nickame. So I assume it's correct if you meant it as a name rather than separate as a noun and adjective.