I have not played X-Com Files, but another mod (TWoTS) with SH/IM where HKs are equally an issue. So maybe a couple of general tips might be useful here.
The strategy there is to use escort functionality (first send out a transport, then select the transport as the target of the interceptor). With TWoTS settings on SH difficulty, one interceptor is not enough, you'll have to use at least two. And you'll have to pick weapons that are quick enough and have a sufficient range. The only possible craft weapon in early-mid game (before sonic oscillator or PWT launcher) in that mod is Squall launcher, others are useless. You'll want to select a pilot who is not a coward, so that the interceptor can approach fast and fire before the HK kills it. And even that is not enough, if the HK ship is shielded. Also, if the HK is programmed to prefer attacking transports instead of interceptors (rare but possible), you're also screwed. But I have completed SH/IM a couple of times, so it's doable. You'll also learn to be more cautious when you don't have "reload" possibility.
If the HK targets your interceptor, you'll have some time in the meanwhile to act. You could make the interceptor attack the HK (or move in the opposite angle) and make the transport back away. However, transports are typically so slow that they might not be able get out the range of HK, so if the interceptor is destroyed, the transport might be chased off and killed as well.
Destroying the interceptor does not kill the pilot (at least with typical settings), the pilot ejects and returns to your base a few days later.