Yes, the game is difficult and, as other people have mentioned before, the secret is to keep your soldiers alive. If you lose a soldier, load a savegame.
Another important thing is that you need to specialise. There is no such thing as the "perfect allrounder" in Incubation. Adapt your soldiers to your playstyle, but it is always a good idea to have one heavy and a sniper. And it is always a good thing to have as many action points as possible.
Make use of additional gear. You can acquire a variety of things and most of it is very useful. Everything that is increasing your action points, for instance, is good. I am not only talking about exo-skelletons, which will increase your action points permanently, but also about combat drugs. The boost might be short, but in a sticky situation they can deliver those one or two direly needed points. Med kids, as many as possible. Explosive charges to seal off entry points.
Keep moving. In most levels you need to stay moving or the enemy WILL swarm you sooner or later. Probably sooner.
Keep in mind that Incubation can be very unforgiving and that the best strategy can and will fail when your machine gun jams or your sniper rifler is overheating. Or when one of your men is missing that one easy shot. So do not plan too many steps ahead without a failsafe or a backup plan. Having a soldier with a flame thrower, for instance, can be very useful. The secondary firemode of the flamethrower allows to seal off an area of 3x3 tiles, immobilizes everything standing in this area and gives permanent damage for three turns.
Know your foe. Different enemies show different behaviour and have different weaknesses.
Gore´Ther Big blue guys with giant yellow pincers. You will (almost) always need a team to kill one of those buggers. They are completely immune to damage when attacked straight on. You will need one team member to attract his attention and at least one other team member that can attack the Gore´Thers back when he turns. Sometimes mines or blasting up explosive barrels behind his back will work as well.
Dec´Ther Little ant like buggers. Annoying, because if you kill them, they will annihilate everything in one tile around them. Use defense mode to keep them off your back.
Ee´Ther Invisible and nasty. Other enemies might be faster or stronger, but those guys here can completely heal between turns. Make sure that you kill them in one turn, otherwise you are just wasting action points and ammo.
Cy´Coo Huge, immobile, artillery style attack. It is important to move your soldiers every single round when these bugs occur. They will always attack the last known position of anything within reach, so make sure your soldiers have move at least one tile until the last turn. They are also totally immune to damage when in defensive mode, the only way to defeat them is to switch some of your soldiers, preferably with high range weapons, to defense mode. The Cy´Coo will open their shields when it is their turn and become succeptible to defense attacks.
Know your guns.
Light Combat Gun Get rid off it as fast as possible.
Advanced Combat Gun Slightly better. It comes with a bayonet, which helps to bypass its permanent ammo shortage and overheating.
Standard Assault Rifle Good choice for the first 15 or twenty missions, then you will need something with more punch.
Double Fire Good choice for close-to-midrange, IF you can live without a bayonet. In case it jams, you're toast.
Heavy Machine Gun Useful against groups of enemies, but very unprecise. It also uses too many actions points. Hang onto it until you get your hands on something better, then get rid of it and don't look back.
Rapid Fire Machine Gun Best rapid-fire weapon. Good allrounder and very powerful in defense mode.
Sniper Rifle Weak, fast overheating, but you will still find it useful in certain missions.
Flame Thrower You WANT one of those! One of the most useful and versatile weapons in the game. Its only drawback is its low ammo capacity, so give it only to one of your soldiers and make sure he has an adiitional ammo pack equipped. The flame thrower does damage over time, blocks entry points and immobilises enemies.
Grenade Launcher Good against groups of enemies, stronger enemies and for setting traps. In case teamsize is of concern, find a better weapon.
High Energy Laser The only drawback of the Laser is its high heat production - you will need to take a break every now and then, otherwise the weapon will jam (or worse). But then again it comes with unlimited ammunition and a secondary fire mode that can stun enemies for one turn, so what's not to like?
Plasma Gun Just not worth it. Limited ammunition, fast overheating and very unprecise.
Multi Target Destroyer If you want to do it with the biggest bang possible.