I very rarely lose a plane (in ordinary difficulty, at least).
Taking the advice of a previous poster, I have at each "interception base":
1 Saracen with armour and 2 ECM pods, plus 2 missile launchers.
3 Stillettos with no armour, 1 targeting computer, 2 missile launchers and a cannon.
On detection of a UFO within flight range, I send up the Saracen first, so that the UFO targets it. Then I launch the 3 stillettoes. The UFO is decoyed into shooting at the harder to hit, harder to damage saracen whilst all 4 planes unload their missiles at it.
Ideally this is done within the SAM range of a base with 2 missile launchers, too, and it is very rare for me to lose a plane, and I've never failed to shoot down the UFO with this method.