Well, it's a dog... Not exactly a deathclaw killing machine. You can't give it armour or additional fire power so there really isn't much u can do other than not playing hardcoe or using Turbo when fighting the likes of deathclaws to insure they're dead before Rex reaches them. I also only do the quest and then keep it as a pet at the 38, I even got dog bowls in there now and give him a nice fresh brahmin or bighorner steak every now and then.
Oh yeah, and use stims, lots and lots of stims when he gets stung by cazadors. I dunno but he also seems to die faster than other companions when poisened.