You could set a variable named i.e. "HitByRocket" to 1 before you call DamageActor in the RocketAttack function or what ever this function's called and set it back to 0 after that DamageActor call.
Then go to the KillActor function in WL_STATE.C and add a check at the right object class case. For example, if you wanted to give the guard an additional splatter death, you could write something like this:
::: CODE :::
// oooohhh, the clip exploded, too ;) so no goodie here
Of course you'll gotta add those s_grdsplatter* states and write a new death sound function such as A_DeathSplatter.
Hope that helped