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[Eagle of Fire]

The Toxigun is the best weapon in the game. As soon as you have toxin B, it's easily the most effective weapon and it does go thru the ennemy shields. Plus, it's lightweight and take no space in your squaddies inventory. To counter the fact that I always end up out of ammo for those guns, I usually equip my squaddies with normal equipment and give every squaddie one Toxigun with one or two clips. When they are in groups, they can use the Alien weapons to bring the Aliens down easily enough and they get the Toxigun out in case of emergencies, when I want to capture shields or in dangerous short range combat.

If you don't, can't or don't want to use Toxiguns for a reason or another, you can always stun an Alien and steal the shield while he's sleeping (or end the missing while he's still knocked out). Stun Grenades is the best grenade in the game for that reason, I always keep using them until the very end of the game.