Do you still kill your own unit if your opponent counters your "Sacrifice" with "Defy"?

Yes, you still kill your own unit.

According to Rule 357 and RiftJudge FAQ #9906, the process of playing a spell includes paying its costs before the spell is added to the chain and becomes eligible to be countered.

The Sequence:

1. Announcement: You announce you are playing Sacrifice.
2. Payment of Costs: You pay the energy cost and the additional cost (killing a friendly Mighty unit). This happens instantly when you play the card.
3. Finalization: Only after the unit is killed and sent to the trash is Sacrifice finalized and placed on the chain.
4. Reaction: Your opponent receives priority and plays Defy to counter Sacrifice.

The Result:

Because the unit was already killed as a cost to play the spell, it is already in the trash by the time Defy is even played. Rule 425.1.c confirms that countering a card does not refund any costs paid to play it, including additional costs. Your unit remains in the trash, and your Sacrifice is removed from the chain.