Missiles with sensors are great! I use them all the time on larger missiles (size 6-9). As mentioned, they allow the missile to retarget if necessary which is good if you use large salvos (box launchers) or high damage missiles. By finding new targets autonomously you can use the entire salvo on all nearby ships, reducing the danger of wasting ordnance on overkill. I have not experimented with thermals, but they might be cheaper in MSP for similar performance.