I've read on the main Xpiratez forums that decent shotguns are apparently THE way to go against shields if you don't have much else.
There's no armour value on shields, so those pellets really add up in damage against the shield, because there's no big negative modifier to go through. Just flat dps (dpTU?). As in, 100+ damage if most hit in some cases. Then take it out with your heavy weapons once the shield is down, just like you're doing.
Yes, you have to get moderately close. But if 1-2 shotgun blasts can drop the shield, it might be worth the risk.
I'm not sure if resistances are counted, but apparently the large amount of hits still works out pretty well if you don't have a decent, very autofire'y weapon laying around for the job (something like a minigun, or even some SMGs or heavy machineguns should strip them pretty well too. Even an O'Hartys Gun would work, aside from its absimal accuracy. Won't do much vs the actual Sectopod, but it sounds like you've got the tools at hand once the shield is down anyway). Often a lot better than a high damage single shot weapon would in many cases (or these weapons are a lot more accessible, and are also sometimes lower TU cost, reducing reaction fire chances). Make sure it's completely gone before you fire the big guns though, I'm not sure if there's any damage overflow from shield to unit (as in, with 1 shield point left, it might happily block a 150 damage attack). Many shields do regen a bit each turn, so you'll want to hit it with something light again to restrip it next turn before hitting it with the big guns.
So, light and lots of bullets, then as heavy as mutantly possible, is the order of the day for Sectopods.