Don't shoot the alien-scouts down, let them land and build a base(in this case, the aliens must have enough interest before they want to build a base and the building scout disappears after landing). Then let all the alien-supplies travel without interception. Some weeks later, the nation where the alien base built will tell you the alien base location if its XVI is in a safe level, or if you don't have such patience, just send an interceptor to there oftenly. The alien base will then be shown on the geoscape and you will have an alien base research. Go on whatever you want then. Overkill the ufos will just send you into a dead loop.
