If you're a HP fan, take a small launcher with you all the time for sectopods. Never had any problem with them.
Thanks for the tips, I'll try to introduce some of them in my gameplay, but changing it completely would be starting over and would be kind of prejudicial
About stunning aliens, never do that in the beggining of a mission. My lesson was in the early days, stunning the first I could find thinking "good, I have what I want", then going to the ship. After killing everything, I spent twenty minutes searching through the ship to find the survivor that won't let me finish the mission, to find out that it was the one who had been stunned outside.