I hate to bust your balls over this, but alien alloys wouldn't make a good material for armor piercing ammunition. You want a dense material, but alien alloys are light.
I don't see anything in the aliens' arsenal that we could use to improve the power of our projectile weapons' technology. On the other hand, their lack of understanding of such technology is something we could potentially use against them. Maybe with alien alloy barrels for improved strength, we could make very high-powered projectile turrets that have incredible penetrating power, and the aliens' heavy armor might prove weak against this technology.
i get that, didn't make the mod just fixed it.
as for what you need for ammo, you need hard and dense, not just dense. modern armor piercing ammo is mostly lead, but with hardened tips. the alloy could replace the tips, though i doubt it would make a huge difference.
as for reinforcing the weapons, it is easy to add some material to reinforce guns to handle heavier loads, and it is done quite a bit, the problem is what people can take. modern firearms use shock absorbers for a reason, a big part of that is the slide moving back and having to transfer that energy forward again. such an action requires a big transfer of energy which comes at the expense of the shooter. guns have less kick by balancing the force needed with the recoil spring (whether a physical spring or pneumatic action), being off balance by only a little bit means a big recoil, due to the speeds involved. so a better material might mean less recoil, and thus allow for things being scaled up, though that means more weight in ammo. more weight in ammo means less weight in armor, and there are few who have seen combat that would make that trade.
it is possible that the alloys are denser than lead and also have a better strength to weight ratio than our steel alloys. this would mean that you would need less to do the job of steel, enough to offset the increased density, and thus it would function as a lighter alternative to steel, or stronger for the same weight. it would also mean that it would be better for bullets.
frankly i prefer most other UFO games in which lasers were more accurate with the same or slightly less damage, and plasma being less accurate and more damaging. if i did it from the ground up i'd make lasers do less damage but be more accurate. bullets would deal a small amount of stun damage in addition to ballistic. plasma would deal more damage and penetrate less, but also deal some incendiary damage as well. incendiary would penetrate good and hurt morale as well, and stun would penetrate really good. this means that basic combat armor that we use today would work against plasma, and be effective against alien weapons, though the weapons would still cut the men down due to the secondary fire damage. when the aliens ramp up they'll use high yield explosives, psi, and wear armor that protected against such. the gateway to laser and plasma would be a big one, so going both routes would be late game stuff making you choose to get close with effective weapons or try and stay back and snipe them. the plasma line would eventually result in better traditional armor, and faster planes, while the lasers would lead to psi defense and better interceptor weapons. choosing to go down the high yield explosive route or gas weapon route would also be another choice later on. gas weapons are more versatile but take longer to work, while high yield explosives will allow for breaching. i'd probably also divide the terror mission into harvesting and pruning missions. a terror site would either be aliens trying to kill the populace and take their bodies back, or them not caring about the bodies and then just leveling the section of the city. i don't think you could really do this with openxcom though, i think the AI would end up botching things.