Xcom is challenging and fun enough without getting into deep, detailed mods. I 2nd Warboy's suggestion to get some Sectoid skulls under your belt! If you want a decent run for your 1st time, I suggest the shotgun mod, sniper rifle mod, and Retaliator mod. Those will help give you an extra nudge to help you out in the challenging times at the start.
Out of curiosity, are you remembering to use smoke grenades to cover your exit from the Skyranger and are you using any kind of tanks (the things called HWP's)?
I didnt tried the tanks yet. Using dogs as scout/spotter. Snipers for long range from a vantage point. I tend to use the shotgun to clear ufos. And im getting used to relay grenades. (Am I the only one to think that throwing a live grenade at a friend... even as a relay feels wrong? XD)
Well, I didnt need to use smoke so far. But I keep some in the skyranger just in case.
The problems I have are mostly related to the main quest. My biggest issue is capturing aliens. I captured one but looks like he wasnt important enough to be ''researched''. Is there anyway I can know wich one is valuable? o.O What kind of research is a priority? There is so much stuff in there its hard to figure out. xD
PS: I eat cyberdiscs for breakfast. I play dodgeball with them using high explosives. unfortunatly they got no hands. And yeah maybe the logical course would be vanilla first. But technology-wise... vanilla makes no sense. Felt like I was fighting in the 60s. FMP kinda fixes that for me. I played a bit of Xenonauts wich got me hooked on the concept. I just didnt liked the graphic style. There is something just..special... about those pixels.
For me:
Xenonauts. Awesome but I just can't stand the graphics.
Vanilla XCom: Graphics appeals to me but starting with generic 60s technology (at least its how it felt to me) kinda limit my enjoyment of the game. Especially once I noticed that as soon as I unlocked laser weapons, standard were kinda useless. (i did do a non-serious game just to run research without caring about ufos to see what to expect in the first tiers)
FMP XCom: My brain is swelling but im having so much fun it should be illegal! xD And the big selling point was the standard weapons upgrades and new alien races.