I wholeheartedly disagree-- a hammerhead's submunition shot can rip a nice hole in your assault squad. It may not pierce their armour outright, but like anything, if you roll enough dice...
Extra armour and smoke launchers are your friends. Never leave home without 'em. You really ought to be playing on enough terrain to cover your units from turn 1-- Space Marines really aren't designed to fight in open terrain (admittedly, no army is, but Necrons and Imperial Guard are probably the best at it.) Extra armour particularly is important, since it keeps you moving despite half of the glancing hits, which is important for a transport.
Another, possibly insane (but workable) idea is to try beating the Tau at their own game. The Tau have a staggering number of anti-personnel weapons. The problem with them is that they don't pierce Space Marine armour. A heavy bolter, on the other hand, chews right through whatever Fire Warriors are wearing now-a-days. Predator Destructors, Whirlwinds, and Devastator Squads equipped with four heavy bolters all do wonders against Tau. Land Speeders, which are relatively vulnerable because of the high strength weapons of the Tau, are of less use than something that's entirely proof against pulse rifles like a Destructor.
Scout Bikers, oddly enough, have a place in an army going up against Tau frequently. Their pre-game Scout move, combined with Turbo Boost, makes them quite solid against heavy firepower and gets them close very fast. The Tau player has a choice then-- deal with the scouts, who can still outfight Fire Warriors, albeit not quite as easily as regular Astartes in close combat, or ignore them in favor of your Rhinos and let the scout bikers eat a squad or two. For the points, they're not a bad buy. You can do something similar with bikers, as they're a fair bit faster than a Rhino thanks to Turbo Boost. You'll just have to weather the first volley if you go second.
Another consideration might be Razorbacks over Rhinos. You're still delivering marines into close combat, albeit not as many as you could with Rhinos. The tradeoff, however, is that heavy bolter that puts a nice dent in Fire Warrior squads. If you absolutely have to shred Fire Warriors, try the following:
Troops/
(3x) 6-strong Tactical Squad
-Heavy Bolter
-Razorback with extra armour, smoke launchers, twin-linked heavy bolters
That gives you six heavy bolters, half of which are twin-linked. The razorbacks can concentrate on one squad, and the infantry can focus on another. You're shredding enemy infantry in pretty sizable chunks each turn.
