On the last chapter you will encounter some huge Helghast with riot shields and electric clubs. Be careful as two hits from that club will kill you. The best method is to use heavy weaponry. Rocket launchers are good but there aren't any around the first time you encounter them. The Helghast Chaingun works great as well. If you shoot at them enough, eventually you will hit their head and they will fall. Take the opportunity to shoot them while they are down. You can also run around crates and boxes until you can sneak up behind them, then tear up their back with the chaingun. Additionally, when you have the mini-Boss fight with the Colossal Helghast, the chaingun is the best weapon to use as long as you don't overheat it too much but fire in short bursts.