For the Large supply ships(two big bubbles, 3 floors) the Sectoid leader(s) is always on the 3rd floor, near the command room (upper left). Dash in, capture the leader, and dash out. Or you could simply finish the mission, supply ships are easy, and give big rewards.

As a plus, getting rid of the sectoid leader will stop PSI attacks on your units.
In terror ships, the leader is once again in the command room. Go to the second floor, in the bottom left room, and stun those aliens. You'll have to fight through, so be careful.
On battleships, there are alot of leaders and a commander or two. The leader(s) is usually in the upper right room on the third floor, or around there. The commanders are in the lower left room, sometimes with a leader or two. These guys have big guns, and sometimes kill themselves (with you, as well), so be careful. You can dash through just to capture the leader, but prepare for ambushes as you use the lift.
I haven't confirmed it for medium UFOs, but the leader should be in the upper command room of the abductor, and the command room of the harvester (farthest away from the enterance). These can be tough, because you have to fight all the way through, and can't simply dash for the leaders.
Don't count on being able to find and capture high ranking aliens at terror sites. They're simply too random. There are better places to get the aliens that you need.
I guess you kinda figured it out. The higher ranking aliens (and medics) are usually in the command room of a UFO. Since those rooms are usually tightly packed, throw in a few stun bombs, and reap the rewards of a dozen captured alien officers. :wink:
PS: Be sure to have fun! X-COM is a great game.

Haha! I'm now the Supreme Commander of X-COM. Time to kiss Earth goodbye.
My first order of business: Homeless people make cheap rookies, and are great at opening UFO doors. Heck, they're so cheap, I'm going to replace all personel with them!
Secondly: This organisation takes too much money to run. Weapon shipments will come from Siberia from now on. Costly maintenance is to be cut on all facilities. That includes venting.
Thirdly: We have a new colonel. His name is Facehugger, he loves aliens, and I want you all to treat him with respect.
Lastly: I'll be in my condo on an undisclosed island, if you need me. Good day.
FMIX-The General Stores