I've come across with some post about using virtual machine to store your private key and make it as a cold storage wallet for your crypto coins.
I've never read this. I use VMs to install altcoin wallets I don't trust, to protect my host OS (and even this is said to pose a risk to the host OS, as malware might escape the VM).
My question is, it is safer to use VM instead of your original OS?
Once your host is compromised, it's best to assume your VM is compromised too. So no, it's not safer.
is it advisable to store my bitcoins to a VM?
I wouldn't do it.
increasing my immunity against the hackers of the private key and wallet?
If you want cold storage, you should start at it's
definition: "Cold storage in the context of Bitcoin refers to keeping a reserve of Bitcoins offline."
The keyword is "offline": any private key that has ever touched anything online, can't be cold storage anymore. Unless your host OS has never been online (in which case hackers are not a risk), you'll have to re-think your setup.
Easiest and cheapest cold storage: print paper wallets offline, from a LIVE Linux DVD, on a dumb offline (laser)printer.