Wait til you get sectoids with low profile, gunslinger, 7+ hp, can psi panic your men or mindfray (roll for panic, does 1 dmg, reduces aim and movement over 2 turns) and they can shoot you for as much as 8+ damage. They don't disappear or babysit mectoids like EW. They sometimes also come with sectoid commanders or just you get a pod of them.
I would also check out the wiki to get more info on stuff you want to aim for but a quick starter guide would be:
-go to the hangar, select each bird and go to rename them, as they can now rank up and get bonuses to aim and damage, it helps you figure out who to send up in the air.
-swap out half your birds with Stingray missiles, which do more armour damage. If you come up against a fighter (also a small sized UFO but with better guns), they are better than Avalanche missiles.
-as long as you have enough sectoid corpses, start with Xenobiology research, as this let you trade sectoid corpses for scientists or engineers. This is important because abductions no longer give anything but cash, and the only way to get ahold of engineers and scientists is from council requests.
-after you're done with xenobiology, most people rush for lasers, as this gives you a big leg up in the tactical side, since laser weapons give +7 aim and +1 damage over conventional weapons.
-If you aren't starting in NA, think about expanding there, because interceptors are STUPID expensive now (200 xbucks) but even a simple small UFO can shoot them down with no trouble. Advanced lasers give you laser cannons, which drastically help the air game. But rearming a ship with anything except the starting missiles takes 7 days, so be prepared to go without them for a long while (and laser cannons generally take ~9 days to build)
-You don't need to satellite rush anymore, but you do want to expand, because then you can get early warning for even abduction missions or UFOs.(since in LW they have to fly a ship and generate the mission rather than the game just generating them). You also want to know where more UFOs are because then you have more chances to shoot them down (or assault landed craft). Later on in the game, most of your item construction will be limited by Alien Alloys, which you get mostly from UFOs, whereas you only get a few if you recover mechanized UFO corpses.
-Make sure you send as many rookies as you can out on the first month, because you'll pretty much only face sectoids, so feed them the kill they need to level them up to SPEC to start them down a class, because soon after you'll want to have ~25 soldiers on call at the very least to tackle missions. The largest squad size for 99% of most missions is 8, so having at least 3 teams ready to go without having to pull anyone out of fatigue is a safe minimum.
-You can safely pull your fatigued SPECs from the first mission in the first month out if you absolutely can guarantee them more kills to level them up while leveling the rookies (mostly in turn so you can unlock the officer training school to open squad sizes and officer promotions).
I wrote more here:
http://www.neogaf.com/forum/showpost.php?p=143044249&postcount=84