Yeah, capturing any Terrorist live will bag you Psi powers, so just capture anything you can (I usually assign 3 people in power suits with tasers to do this - to do this they need hugely high bravery and psi resistance, though) at a terror site apart from floaters/reavers.
Not to say you shouldn't capture floaters, though. I got a live technician on the first turn of a terror mission, and just ran away (I had no armour/tanks at the time) by hopping out of my Skyranger and stunning the first thing I saw, which excellently turned out to be a floater technician... :w00t:
So the moral is - blind luck will often win when tactics will not
Oh, when you have a hyperwave decoder, fly a skyranger over the area which the ships seem to be coming from. This is amazingly important, as it reveals an alien base, which can then be assaulted whenever it seems useful.
And for the love of whipped cream, don't attack muton ships until you have craploads of armour and good weapons/tasers. Laser tanks are good if you have any, but the best type would be a tank with a fusion launcher.
So remember kids, tasers are very, very useful, especially on small type ships. And if you feel a fool because you blocked a door you want to get into with a proximity grenade, then throw a norma grenade at it to get rid of it. Then storm it with crack troops with tasers, with a sniper with a laser rifle outside of the door, with high reactions and shooting skill. Remember that soldiers never reaction fire with grenades (although this is very useful) but remember that soldiers do react with HE ammo, so be very careful about that kind of thing.
The new version of XcomUtil is great, as it makes HE powerful enough to open holes in UFO roofs and blow through walls, which is how it should be.
X-Com tip of the day : Research Mind Probes ASAP, so that you can identify aliens and their rank and decide whether to kill or capture them.