The hellion's only weak spot is its head, which is protected by its huge arms. Don't bother wasting ammunition on his back, arms, or other appendages. Instead, go straight for the cranium. It's pretty small, however, and will likely take your best aiming and circle-strafing skills to score some hits.
Below is a shot of a guided missile going for the Hellion, but because the accompaning picture in the walk-through, it is unclear which is the actual head. The green eyes section looks too big for the walk-through description, so I'm asking which one I marked is the head.
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