I'm on my second playthrough now. My first was as a Renegade and I killed Fist myself. Now I'm playing as a Paragon and was planning on letting Fist live this time around, but I got Wrex in my team and he just shoots the guy. I know he gave me a warning and all that, but I thought I would be able to stop it from happening somehow.
I take it I'm not able to switch Wrex out for someone else at this point? Already got Garrus...
MvC3: Captain America - C.Viper - Arthur / Magneto - Dormammu - She-Hulk
I may be remembering incorrectly, but I think that before you get your ship, the only opportunity you have to switch someone out of your party is when another person joins it. So unless you have a save from before you let Wrex into your team, you may be out of luck.
My understanding is that Wrex will always kill Fist because it's his job, so the only way to keep Fist alive is to not take Wrex with you to Chora's Den. I think, anyway. You can still get the paragon points for telling Wrex that Fist surrendered, but I don't think Fist lives if Wrex is in your party at that point.