Guide to Soldier Class, the do's and don'ts....
The idea for a good soldier as Shep or FemShep is making sure that you invest in the incendiary and disruptor ammo upgrades.
These allow you to quickly strip down armor and shields. concussive shot is pretty useless as is Cryo ammo. Fill up combat mastery, adrenaline rush, incinerate and disrupt ammo to full instead. I suggest not making it the squad ammo instead make it more powerful at last upgrade to ammo. This is because as a soldier you will notice your companions are sucky shooters used for their powers (more on that later).
Depending on how good you are at shooting with specific weapons you should use different tactics. Most enemies in ME2 (I played on insanity) can be taken out from afar. I had very little need for a shotgun except with husks.
I suggest practicing your sniping and assault riffle skills in normal mod first because on insanity you need fast reflexes and lots of using your team mates powers. You are the run and cover guy, in ME2 enemies rarely use cover when you wish they did, aim for the head and when you start getting hit drop to cover.
It is better to recharge shields and let an enemy come closer than have to wait a very long time for health and shields to recharge. I suggest using the incendiary ammo as much as possible unless you meet shielded enemies; it has more chance of making enemies dance so you can kill a different enemy before returning to finish them off.
Personally as squad mates I usually have a biotic and a tech, or a blend, Mordin and Garrus are great, but i personally used Miranda and Mordin more because Miranda has overload and warp (handiest combo). Mordin is also pretty okay with incendiary and Cryo.
Incendiary mostly needed for heavy armor like the mechs. Cryo also allows you to leave an enemy for later. There are specific groups of enemies that you might want to change your companions for:
Blue suns (lotsa shields so use Garrus)
Bloodpack (armored so use Mordin and make sure to remember to use overload against pyros to blow them up)
The biggest advice for playing as a soldier is even though its a cover shooter, keep moving, pause to look around and command your companions. Keep them behind you if you can, their powers are really handy. And if you see an enemy getting ready to take out your companion don't get your self killed, try to stun him with powers until you can be sure to deal with them. Remember companions get up after each wave, med packs are for when enemies are closing in don't waste them on enemies that are far away.
That said I have never felt the need to use any heavy weapon except at the end, I suggest the collector beam rifle, or the missile launcher but everything does the job. Just make sure you remember to take out any enemies that will close in on you first and you should be fine.