How can I remove mind control from my soldier?

Mind Control wears off after 4 turns, what I did was run all my units way back out of LOS then every turn tab through my guys until the mind controlled unit was back under my command.

This is the only way if you don't want to kill the enemy. There is no way to break mind control other than kill the controller. Panicing him does not free the victim, and you can not mind control neither the controller nor the controlled guy during the duration of the link.

Lacking another tazer, your only option to save the solider is to kill it. Not sure what happened in your game, but killing the controller will not kill a mind controlled solider (unlike when enemies link).

Killing/stunning is the only option. As per Shykin's comments, there is nothing in the psi tree to free a mind controlled soldier.