I remember watching this film in early 90's, i saw it only once and only recently come think of it again.
The film started with some cop chasing a bad guy into a "club", etc etc.. he got away and somehow escaped the planet.
THe cop followed him and they arrived on earth.
Since these aliens are much smaller than us, cop's ship was miniature sized and got picked up by a woman who brought it home to her kid.
So the cop continued to chase the bad guy with the help of the woman, etc..
Oh, and both the cop and the bad guy had badass pistols that were powerful enough to blow a hole in humans
Sounds like Dollman, or one of its sequels.
http://www.youtube.com/watch?v=nsWFrA8nFNw&feature=player_detailpage
Awesome, that's the one! :cheers: