For small ufos I've shot down, I do use high explosives inside them: if there's a large hole in the roof already (caused by intercepting the ufo), there's no power source inside anymore. So I pop in a few high explosives through the roof, rather than going in and getting shot in the doorway
Sometimes you will have killed all aliens inside the ufo, and there's still one out somewhere. The last time I played UFO, I posted a soldier over any stunned aliens (usually only a few); this prevents them from getting up again. I don't know if stunned aliens that awake ever pick up their weapons again, but if I have to leave them alone, I take no risks: take the ammo, including that in their weapon.
Also, if their plasmas (or heavy plasmas) have been fired already, you'll lose all of the ammo in the gun at the end of the mission. So you could as well use it up instead of firing your own full rounds.