Never kill with one shot what you can SAFELY kill with 20.
Never auto missions. You get no loot, the civilians usually all die, and you kill with NO shots, so no skill practice/gains.
The point here is get your stat gains in where you can.
There is never a point inthe game where your soldiers do not benefit from more target practice.
A long protracted firefight with lots of hits, lots of maneuvering, and your soldiers carrying enough to break a sweat will benefit you FAR more than three GL bursts on airburst.
That way, when things start to get nastier, you're facing it with 34 movement and 60+ weapon skills instead of 30 movement and 40s weapon skills.
Focus on your soldiers with the highest base stats, as it gets progressively harder to raise stats, and it is based on starting stats (someone who started with 18 sniper skill and 30 now will gain slower than someone who started with 30 sniper skill).
All this said, if carpet bombing an area with grenades is what is needed to save that insane stats soldier you have, nuke 'em 'til they glow and shoot 'em in the dark.