How to set the percentage at which my MacBook warns about low battery?
Just in case you weren't aware and/or haven't tried this, you can:


click on the battery icon in the menu bar
in the dropdown menu that appears, click "Show" 
select whether you want the remaining time or percentage displayed


This will display the remaing time or remaining percentage to the right of the battery icon. It is always visible in the menu bar, making it easy to glance at regularly.

With regard the warning, I'm a little surprised it's only triggering at 5%. However, it is designed to trigger once your MacBook is running on reserve power and perhaps in your case that's at 5% because of the overall battery life.