It's common practice to lose a few soldiers in most battles, at least until you're capable of mind controlling aliens.
Against chrysalids, I prefer to use heavy plasmas and I keep 2 or 3 soldiers with blaster launchers to take out any chrysallids I spot, after all other soldiers have failed shooting them.
Proximity grenades are a good idea but they may not be enough to kill those creatures. I've often had chrysalids leaving a ufo alive even though they walked over a proximity grenade.
Also, if it's a terror ship you're up against, try to get soldiers with excellent reaction and heavy plasmas to guard the ufo doors as quickly as possible while the others look out for the usually one or two chrysalids who are already outside. Then add some proximity grenades for extra damage.
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A sickened, sensitive shadow writhing in hands that are not hands, and whirled blindly past ghastly midnights of rotting creation (Nyarlathotep, H.P. Lovecraft)
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