Colonel Assault with full Right-side promotions, ghost armor and an alloy cannon. Cloak, Run & Gun, move next to Sectopod and unleash rapid fire. Both shots are near 100% hit and 100% critical, with bonuses to crit damage due to Bring 'Em on (leave the drones until afterwards) and Killer Instinct. This will destroy the beast in 1 move and if you cloaked before spotting it, then it doesn't even know what hit it.
I did exactly this the first time I ever encountered a Sectopod (Classic diff) and wondered what the fuss was about! I destroyed a drone with my next soldier and hacked the 2nd for a free flying expendable scout. I realised at that point that I had won the game; nothing can compete with Ghost armor and a Soldier that can kill ANYTHING in 1 move...