Successful methods of killing a mi-go:
Hit two (2) times by a Car found on the sidewalk at 80 MPH. This was early game.
Sustained two (2) bursts of 9mm ammunition at close range from an H&K MP5.
Eviscerated at close range using a katana at melee rank 5 and (surprisingly) no cutting weapons skill. Took no damage, although this was partially due to a dodging rank of 4.
Immolated by five (5) charges from the mini-flamethrower CBM.
Sustained concentrated fire from three (3) friendly turrets, after which it was picked off by my Cx4 Storm.
Well, I never found them very tough, and they’re pretty easy to avoid should you manage to find a car (in which case you should try to kill it) or a nearby building with more than one exit. Do not engage in close combat unless you happen to be very good at it.