What's the best way to collect (Farm) equipment (weapons) in X-Com?

Getting a mind-controlled alien killed or stunning one are the only ways to get their weapons. Mind-controlled aliens dying impacts your squad's morale as if one of your operatives had died, which makes them more prone to panic and less successful at further psi attacks; while stunning aliens is risky, can only be done a limited number of times and requires the use of an equipment slot, but can be done much earlier than mind control. I tend to favor mind control, especially at the end of a mission, where the will penalty will be felt less.

You could always combine the two approaches. Mind control, bring them close to a stunner, and stun them. This should mitigate any impact of moral loss, and overall be effective.