I usually go for this setup - saw me through C/I.
1 x Sniper - built purely for mega sniping; have to get into position, but then is deadly: Squadsight, Height bonus, double-tap, disabling shot etc.
2 x Assault - usually one with Alloy, one with Plasma. All bonuses stacked to increase def, and double-fire, immunity to crits, etc - the damage sponges, essentially.
2 x Support - medkits to the gills. As I was on Ironman I wanted to be extra safe. Otherwise they were kitted out for suppression over smokes, and would normally be like snipers with periodic dashing about.
1 x Heavy - HEAT, Holo, blaster launcher with only one shot, suppression again.
Essentially my team was a slow-moving set of wimps who had to get locked into position to be really effective, but if I played cautiously I was alright. The two assaults usually got me out of unexpected scrapes.