Yep, without alien containment you won't capture any of them alive, and you can't do that without researching a dead alien first, which will take ages with 5 scientists or less. If you manage to interrogate one early though, you have a chance to unlock very powerful techs. However, the main prize is being able to research Alien Alloys early, which are key to unlock powerful armors, ammo and even a source of outcome that will let you dominate cults once you unlock the right technologies.