Although explosives do less damage on Cyberdiscs, they do hit all four tiles of it, meaning overall they do much more damage than to a 1 tile unit. It is possible to destroy a Cyberdisc with a direct hit from a Large Rocket, so it should be possible with a High Explosive (and if that fails, a few lower calibre explosives should do it).
You're doing pretty well
Just have to throw those HE pack from a little bit further! Yet another bad thing with cyberdiscs is that it's really difficult to know where they are looking, so it's hard to avoid reaction fire :/
Have you thought of setting the entrance on fire with some incendiary grenades? If you manage to get stuff to catch fire as they cross it, that's a little bit less hp to take off before they die.. (and it won't destroy items like proxy grenades)
