My strategy was: Snipers. Snipers Everywhere.
Basically I had a max rank sniper with a laser sniper rifle and a mid rank sniper with the regular rifle when I first encountered the sectopod. They both have the Squad Sight perk so I basically put one guy up close enough to see it and then threw some smoke on him and had the two snipers shoot the damn thing to death. When I actually started fighting it, the sectopod was the only thing in the area (It did have the drones and two elite mutons but I retreated back so I could unload on it when it appeared, I later found out what you mean by nasty AoE)
One sniper had Double Tap (The laser one) and I basically just dropped it's health from full to about 1/4 quarter left by having my entire squad focus it while it could only shoot the guy in full cover in smoke. This may have been a one off thing though since it was on an overseer crash where there was a high vantage point for the entire area I parked my sniper at.