I use an optional rule (that i think is in one of the beginner box sets) where vehicle weapons do normal damage to characters, but always have Breach and automatically inflict a critical wound (rolled randomly as normal).
That way, you players can heroically try and take on a walker and getting hit doesnt instantly "red mist" them, but there will be a lot of hurt if things last too long.
Of course the players do have to come up with ways to defeat the vehicle given that they are not normally carrying heavy weapons...this normally involves climbing up the outside (or otherwise getting on top of it), bypassing the hatch lock and taking out the crew.