Wretches are most annoying since they swarm your soldier and kill him almost instantly on medium and hard. The best method to deal with them is with a shotgun or the alien repeater, since those weapons let you slug them without the dangerous downtime of the chainsaw.

The shotgun is the best for the in-close situation, since you can forego the left trigger and hip fire the shotgun quickly to catch the wretches as they hop around. Smacking them if they get close is the only way to counter, short of using A to dodge.