These hints'n'tips courtesy of Chris1977:-
(1) I never owned the original Laser Squad (just played it obsessively at my cousins' house during family visits in the '90s), so I don't actually know how the cost/explosiveness of grenades/rockets compares in this version, but there are two useful lessons here. The first (which may well be teaching my mother to suck eggs if you're a veteran of LS) is to buy your gear wisely according to your unit stats. Go easy on armour unless (a) anyone has particularly low health points or (b) you're anticipating having to leave your guys exposed in order to get into a winning position - weapons, etc. are generally much more important. Also, someone who isn't a particularly good shot (i.e. they have shot skill significantly below the mid-30s) may be able to lob a grenade a long way (strength of over 10) or be handy with knives/fists (CC skill of 50 or above). Or any combination of the above. And remember to deploy appropriately: don't leave someone lacking a gun anywhere where they're likely to come under fire/bombardment before they have chance to fling a grenade/move in for CC.
Secondly, a rocket launcher generally isn't a good "explosives gun" unless (i) you're having to ration your credits and (ii) you aren't anticipating having to use it much. Provided they aren't "banned" for the mission you're playing, and you have sufficient cash, I'd always favour a blaster or, better still, an MS autocannon - both of those allow you to loose off several shots before having to reload.
(2) The key to having a fighting chance particularly against the real old hands of SF (of which I am not one: I'm a "medium hand" at best), is adaptability: if your initial tactic isn't working (and particularly if your opponent's choice of tactic/technique has surprised you), CHANGE IT, otherwise what you're doing will become predictable. Concrete example: in Assassins, if your guys had moved around more and/or been more spread out to start with, they wouldn't have been anywhere near as easy for me to pick off.
(3) A few of random bits of wisdom that were handed down to me (thanks, Ethereal Slayer!) when I was a young padawan (OK, actually less than a year ago...and again you may already know these): (i) it can sometimes work out better points-wise to drop/pick up items rather than change them; (ii) it's possible to throw items between units that are facing/within range of each other (and the thrown item then becomes the one that the "throwee" is using); and (iii) if a unit is simultanously on fire and near water (and lacks a fire extinguisher), RUN INTO SAID WATER! (Sure, as long as you stay in the water it'll sap your health, but that's still better than the inevitable death that being incendiaried/flame-throwered usually entails...)
Finally, before I set up that promised game of Escort (during which I'll be Sterner's side again, as I suspect theirs is the taller order), have you explored More Options on the home screen? If you go to Finished Games > My Finished Games and select a game, you have the option to "Watch Playback" in stick-man (OK, coloured blob) form, which can give you real insights into how your tactics stack up against those of whomever you're playing.