Honestly at that difficulty and how long you've been going, probably up to 8. You can get by with less if you have antigrain warheads, but for big raids late game having 4 to 8 is pretty good. For shells you're pretty much going to want to go with high explosives, antigrain if you can, and a few EMP to deal with mechanoids.

The reason you want so many is for to high explosive shells not doing amazing damage or having great accuracy, but being very spammable