I find that reaction shots on aliens leaving a spacecraft are exceedingly dangerous. You can lose a lot of soldiers doing this. It does however train up soldiers and is tidier than grenades. If you think that covering the spacecraft door is just going to be too dangerous then just don't do it. Hold your troops further back and scout the exit area each turn instead. Here are my experiences.
Alien grenades are the biggest threat to reaction shooters. Aliens need time to take out, arm, and throw the grenade however so you're generally safe unless the alien needs to move only one or two spaces to see a soldier. Use a motion scanner to check the position of aliens and if they are close enough to throw a grenade you should take precautions, such as placing a proximity grenade.
When an alien leaves a spaceship it will generally shoot at someone in their sight, someone who shot at them, or the closest person. This means it is generally a good idea to put the most expendable soldier closest to the door. Even then though the alien can shoot at another target so I wouldn't cover the spaceship door with anyone that I really wanted to keep alive.
If you're using proximity grenades to cover the door then you might lose a lot of money unless you have someone running through to pick up any valuables before the you place the next grenade. Don't be too greedy or else the runner will get caught when the next alien walks out.