I find that even with alien super-explosives you often need to cut through the wall with a laser-sword and place the charges inside the supports, and there can be a lot of supports. And some maps don't really rely on supports. And then there is the issue of surviving the collapsing building when you get to the strategic map... But demolition is a very sound tactic, particularly in limited actions, such as destroying fire-escapes or putting a hole in a wall to throw grenades through. Oh, and stun grenades are crazy-awesome. I suspect that stun grenades ignore shields, which is a pretty rare and valuable trait in a splash weapon. I recall that they can put out fires and clear smoke. I am pretty sure that unconscious agents are not attacked, so they can be used to save a squad that cannot escape, although the squad will still be vulnerable to explosions, collapsing buildings, bleeding to death, getting picked off one at a time as they wake up, or all dying automatically if you lose the mission.
I would consider giving kilroy a flying suit, as they tend to go well with explosive weapons...
I think that it doesn't display a "Hostile unit has died." message if it is the last hostile unit. So that is one way to tell if the mission is over.