You should do some angle calculations, so the rockets are always facing the character, else the rockets go backwards. Also, make an explosion wich blows you away! When the rockets hits something, including walls andstuff, it creates an explosion. Depending on the distance between you and the explosion, you get more or less damage. If the distance is 0, it should be a one shot kill.
This might be a weird idea, but you should be able to shoot the rockets yourself. When you shoot them, they turn around in the air and chase you. To kill enemies the player must guide the missle towards the enemy, by walking around. This way, the rocket is controllable.