It sounds like you're getting shot at a lot. To the maximum extent possible, do not let the enemy shoot. If you must let them shoot, hunker or smoke to ruin their chance to hit.

You have grenades, and Sectoids have 3 HP. That means if you can get within throwing range - even if it means standing in the open! - you have a lot of control over the fight. Flank who you can, take shots with the people whose grenades aren't needed, and then grenade anyone left standing. Plan this from the start of the turn, so you know you can definitely wipe out all enemies, even if the rolls go bad. Try to plan your grenade strikes on clustered enemies, but don't feel bad about grenading lone targets, and don't feel bad about wiping out most of a cluster with gunfire and then grenading the single 1-HP survivor. As long as you're winning fights and not getting shot, you're good.

Controlling fights with grenades is really good, but you need to be in grenade range. That means a lot of early-game tactics revolve around getting into close range. Sneak up to doors or ledges before revealing what's on the other side, and you can start the engagement in grenade range. When the enemy is at long range, hunkering behind indestructible or highly-durable cover can make them move in closer. Keeping your vision blocked by an obstacle can let you control when you activate what's on the other side. These tactics also tend to help with getting flanks, but with rookie aim and Sectoid HP, grenading Sectoids is almost always more reliable than flanking them.

There's a lot more to the game than grenading everything, and frags rapidly lose effectiveness after the first month, but if you're having difficulty with Sectoids, liberal grenade use is probably the big thing you're missing. Rockets and Run-and-Gun are also important fight-control tools, and they retain effectiveness a lot longer, but you don't have many rockets, and Run-and-Gun only kills one thing every three turns.