Just my two cents.
Nominative case works fine for naming the units, as prima cohors, secunda cohors, and so on.
Accusative is used when the word is the object of a sentence, like Caesar primam cohortem iuvat, Caesar sends the first Cohors.
Other cases are meant to be use as prepositional constructions, as Vorennus in prima Cohortis est, Vorennus is in the first Cohors, Caesar auream aquilam ex prima Cohortis davit, Caesar gave a golden aquila from the first Cohors.
For wargaming purposes, I think the most sensible option is to use always the nominative, which go as prima, secunda, tertia, quarta, quinta, sexta, septima, octava, nona et decima Cohors. The plural of Cohors is Cohortes, so if you want to name two or more cohors at once use it, as prima et quinta Cohortes, the first and fifth Cohors.
I hope you find it useful, Richard.