Sectopod Tactics

It's a while since I played Enemy Within, but from memory there are two key things: the first rather obviously, is to do lots of damage to it. Make the most of holo targeting (because it has high defense), HEAT ammo, and ideally open with a shredder rocket.

The second, if (as is usually the case) you can't kill it in one turn, is to reduce the danger to your squad. Suppression works to reduce its aim, and smoke and the defensive psi ability work to increase your defense.

However, the best "sneaky" way that I remember is with the top-tier MEC and its EMP ability (afraid I forget the name of it). Walk up to the sectopod, use the EMP. That does damage to it and stuns it. No return fire, no reaction fire, etc, so your squad can concentrate on removing its health. On the next turn, your MEC can either retreat to a safe distance to avoid the death explosion (if the rest of the squad can comfortably kill it), or just punch it twice!

I usually killed Sectopods the same way I killed any other big thing: Avoid it until you think you can kill it in one turn, then hit it with everything.

The best 'everything' includes plasma sniper rifles from long range and rapid shot assaulters from point blank. The snipers can use headshot to apply extra damage. The assaulters can avoid the overwatch with lightning reflexes to get close. Two shots from an alloy cannon go a long way toward destroying the thing. A heavy with heat ammo can help a lot as well, as the sectopods are affected by the extra damage.