I agree with Lightning is a good craft.
Arm it with laser-gun and you have a perfect elerium-hunter, hunting down small crafts, and jumping them on impact.
Regarding tanks.. one of the most evil ways of killing the aliens "tanks" is to MC one of the 4 squars of a cyber-disc, and either move it one square so it reaction-fire on itself, or use it to kill aliens.
Blaster-launcher is en EXELENT way to deal with Secoid craft where only the leaders have psi-powers.
On battle-ships, Terror and surply-ships the leaders is ALWAYS at the same starting-room for theire class, so you only need to bring 2-3 guys with 1 blaster and 1 round loaded.
Send out a scout, locate the UFO, use one blaster-round to open the roof from above, next right down, and yet one more to be sertain that you got them all
Or use the same tactic if you have flying suite, to equpits 2-3 of your men with stun-launchers.
just place them at level 4, if the roof is level 2-3, blast the roof open, and have them fire down at different angels, and then drop a prox-nade down... if they are not stunned, they will die if they move
On all missions beside terror-sites, brute force is usualy the best way.
Aliens also Panic due to low moral if you manage to knock some leaders pretty fast, and keep the kill-count at a decent rate.
A Large-scout site shouldn't take more then 10 turns.
Use Prox-nades and laser-rifles at the start, and switch to heavy P and prox-nades later.
If you are trapping a door to KILL, place the nade 1 square outside.
If you wanna get the alien alive, and just wanna use it as detection-device, place it right next to the door or wall you wanna cover, or right around a corner, where the blast won't reach the targeted alien.
I ONLY use high-explosives to take out buildings, never inside ufo's, since the blast-radius is too greate, and will destroy too much stuff and put your own men at risk.
If you wanna REALY learn how to use nades, try and start a game @ easy, with all rookie soldiers, and at your first large-scout mission, arm your men ONLY with Proxy and smokers, along with Pistols for close combat.
Realy.. the ONLY aliens you need alive is; 1 navigator ONCE, 1 leader and commander ONCE.. and then TONES of Medics
I always try to take every harvester/abductor with blasting the leader if it's sectoid, and hit the medics with stunners, and then place a smoke-nade with 8 turns delay.. seems like it keeps them down longer.. smoke stuns