The main bit I was stuck on was the part after you reach the balcony. Here you have to fend off horde after horde of Helghast soldiers, by far the most frustrating part of the game, even more so than the build-up before you go up the stairs into the main room with the final boss.
Basically, use the grenade launcher for the first wave, shooting grenades down into the foyer part from the balcony. I found that staying crouched in the left-hand corner with the pillar opposite was best as none of the soldiers can shoot you. There will be two fresh waves of soldiers. You can take them out using the same tactic. After you have successfully taken out most of the Helghast soldiers in both waves quickly switch to the automatic rifle in the gun rack to your side, you'll need this to take out the next wave. The third wave will be a wave of hooded Helghast soldiers who come up the stairs and more soldiers below; normally there are about 4 who come up the stairs on the left and 3 who come up the stairs on the right. Nico will take most of them out on the right so just concentrate on the ones on the left. Again stay in back left hand corner, but in a crouched position, so that no-one can shoot you from the right side or below. Then just take out the soldiers coming up the stairs on the left. After you have killed these you may have to help Nico out, as I said he's a little useless really.
Once you have killed the majority of the third wave, out come the rocket launcher guys. Now, run towards the front left of the balcony, so you are shielded by the wall at the front. From here you can pick off soldiers coming up the stairs and you can sneak a peek out and pick the rocket launcher guys. This is a lot better than dodging them at the back. You will eventually kill the fourth wave and the rocket launcher guys at which point a ship will come crashing through the window. At this point you'll get that glorious save point. You'll then have to fend off one last wave, which includes the rocket launcher guys. Again, stay in the top left corner with the wall shielding you.
Then once that's done it's one on one with the final boss. I used the knife and shotgun. When he comes at you with the knife, use your knife. Any other time use the shotgun. It seems to pack a good punch.
TIP: The boss (Radec) will scream before sending each new wave out, so listen out so you can count the waves.