I think (played FMP a looong time ago) that they're not bullet sponges, they just have good armour against whatever you're using. So this is what's nowadays referred to as 'skill issue'.

Does FMP have armour entries in the pedia? If so, you could try nabbing one alien through sheer persistence, look at what's it got there and see if you've got something that works against its hide. Edit: Yes, it does. /edit
Edit2: But, yes, FMP does away with the "Heavy Plasma in month 3" progression of the original, and you've actually got to fight the super-advanced aliens with your crappy Earth tech for a while. You've got to do some alien-napping and other research before plasma (or even lasers) open up. On the flipside, the human arsenal is a lot bigger and more varied.