It certainly works in game. I declared war on Belgium and Luxembourg as well, but I still managed to pull it off.
1914 - First offensive against Russia, sieze all of Poland, annex Luxembourg to shorten Western front and spare 14 divisions for the East.
1915 - Attack and annex Denmark to free up Baltic Coastguards, Keep pushing the Russians.
1916 - Russian front utterley disintegrates, no cohesion whatsoever. Transfer some troops south and mop up the mess AH has made in the Balkans.
1917 - Russia surrenders early (Would have happened sooner but I didnt take Kiev till I was at the gates of Moscow, Italy falls after I transfer the entire Russian front against them, in a huge 5 month offensive in which I outnumber them 12-1 I crush them easily, I then transfer the troops for an offensive in the West, this starts in late 1917 and after 6 months results in the French, Belgians and British being utterley destroyed on the continent.
1918 - War ends early in the year as UK White Peaces.
My biggest lesson from this game has to be the benefits of annexing Denmark. Normally about 7 divisions are required to hold the Baltic coast, but with Copenhagen in German hands, you only need to garrison Wilhelmshaven, Copenhagen and the other Danish Beach. However, you must strike hard and fast, with an overwhelming force. If you dont knock them out within a short time, the UK and France can land troops and turn a potential benefit into a costly operation that takes 5+ divisions away from the front.