Same as what I do with most other pesky intruders: tag them for capture, interrogate over and over until they lose all heat (and then some - want to ensure their time on the island is up). Then let the valets escort them out and wish them a nice trip home.
The difference is they're both harder to capture and harder to contain.
For the first, setting up the base so that your traps do most of the work for you is the best. In this case, don't tag them until they've already passed the heavily trapped areas of the base, or they end up unconscious, whichever happens first (if traps in base are well designed, the latter should occur more often).
If they've already passed the traps, then tag them, again if the base is well-designed hopefully you'll have tons of minions on their ass. However, with super agents it's not worth taking chances, so I usually then grab a henchman, get him to grab a bunch of minions with them, and use them to capture the agent. The only thing to watch out for is that henchmen taken down by super agents lose one of their lives, and if they lose all of them they're permanently dead.
For the second, it's worth having an "extra secure" security section specifically for super agents. You want a cell, surrounded by so many traps that they're knocked out as soon as they step one foot outside their cell. Knockout bees are great for this.
Alternatively, or additionally, you want an overstaffed security room connected to a nearby barracks/break room (and not too far from the nearest mess hall). I put this stuff deep in my base, usually with a separate security circuit just for this. That way, any escaping super agents are immediately swamped by minions, since they keep their tag when they escape. Just make sure you have cameras everywhere.