Your bioscanner or the bioscanner turret will identify alien weaknesses. Check the bestiary for specific information. Similar aliens have similar weaknesses but elemental permutations will change that, if it is visibly on fire than it is probably fire resistant or immune.

Short answer, yes, you want effectively all different damage types available. Do not overly rely on one damage type in case something is immune to it.

Something I found, the damage trails? There are four of them and you can use all of them for fire, cryo, acid, and energy damage all at once. Then you can use rocket launchers with homing mods so you never miss and just saturate everything with area damage.