Generally I just run constant double suppression while I'm approaching (which combined with a small cover bonus makes you basically untouchable with -60 aim) or sometimes triple suppression if I'm really worried (this obviously doesn't work on melee attackers, who I generally just let come most of the way to me before either stunning or killing them). Then once you've got all of your guys close enough you hit them with all of your arc throwers one after another, and then kill it if none of them worked. An important thing to note is that you don't want to flank the target while you are approaching, the AI hates being flanked enough that it will gladly suicide run through triple suppression to escape that dangerous person flanking it.
I also just generally bring along at 1-2 arc throwers on every mission except for the high end missions (terror missions and such). If I happen to have a great opportunity I'll use them, or if I manage to end up with just 1 enemy left at the end I'll go for it, but over time I get enough shots in that it's not particularly a huge deal if it fails, since over time you still get plenty of captives.
Funnily enough my hardest thing to capture this run was the plain old sectoid (though I haven't met any sectoid commanders in this run yet). The problem was that I didn't go for early captures (since early lasers+gauss is
so much more useful in long war) so by the time I actually was able to capture them all of my weapons just insta-killed them.
On the other hand I'm rolling in enough mutons to satisfy every request and then some, and I've got so many floaters I'm not sure what to do with all of them.