If you're just trying to kill it then it's pretty easy, yeah.
As an aside, if your volunteer has a medkit and uses it to heal an ally, there's a custom line from the uber ethereal and he gets a little upset at how "weak" you are.
2. Africa is the best in general. There's a way to make Europe good where you only take engineers on the first abduction and then take cash rewards and build workshops to change the missions that reward 200 cash into missions that reward 5 engineers and ~125 cash (accounting for extra power requirements). Asia is also quite nice over time as there are a lot of officer training and foundry projects.
3. Extra guns, as people have noted. It's basically never worthwhile to lose a good soldier just to capture a gun, however. Losing a rookie is fine.