It took me forever to beat anything on Expert too. But if you can get to the finales... well, it's different for every campaign. The only general tips I can offer are ones that are good for the whole campaign, not just the finales. On expert, it's absolutely vital to take out infected when they're as far away as possible, so stay away from the shotgun. During the finales you'll be facing mostly hordes, so the assault rifle is a better choice than the hunting rifle. Go for headshots to conserve ammo, but don't be afraid to spray a whole clip at roughly head-height when a horde is rushing you.
No Mercy: forget it and just jump off the roof. Seriously, barring absolutely lame tactics like rampcamping or using the bait-and-switch glitch to spend most of the time hiding waaaay back in the safe room, it's damn near impossible. Frigging No Mercy...
Death Toll: There's no real great place to hang out, so I usually end up on the balcony by the minigun just for lack of a better option. Using the minigun itself is mostly a waste of time, but with all four people there you should be able to cover all approaches. After the second tank, grab an ammo refill and then book it over to the dock; the dock makes a great funneling point, but with the only ammo being inside the house, you can't spend the whole finale there.
Dead Air: Definitely the easiest finale. Behind spot with the radio and the ammo is a wide open area, near the respawn closet. Have one of your guys take the hunting rifle and the other three use assault rifles. The sniper takes out specials when they appear (smokers are the biggest worry; they like to perch on top of planes and pull people out of the group), while the assault rifles take care of hordes. It's wide-open flat terrain. Easy.
Blood Harvest: You want to stay at the top of the stairs in the farmhouse. This finale is basically the only time shotguns are acceptable. One guy covers the stairs, and one gets each of the three bedrooms. Since this requires each person to have their back to all the others, communication is absolutely vital here. Ammo can be a problem too, given that it's all the way downstairs in the kitchen; if anyone's running low (usually the stairway guy runs out first) then wait for a lull and ALL FOUR OF YOU go get ammo together. One or even two will get overwhelmed instantly if they get caught by a horde, and if three go than the lone guy waiting upstairs is vulnerable. When you hear a tank coming, run outside and deal with him there, rather than waiting for him to come to you; on Expert, fighting a tank in close quarters is suicide.