If I see Cazadores before they see me, I start lobbing grenades / explosives. Even if they are not hit directly, the splash-damage is usually enough to cripple wings or antennae, which helps no end.
If they get closer, something like the Assault Carbine or SMG comes in handy. That said, I load up A Light Shining In Darkness (Honest Hearts) with .45 Super ammo (I think you need the Hand-Loader perk to get the recipe) and, like most things, it will make short work of the orange-winged little bastards!
Wardy