Actually, you only need to annex Bohemia and Hungary as Austria. This is most easily achieved through the Ausgleich events, though it will also work if you just do it through war. The event (which will allow you to found the Danubian Federation, Austria-Hungary or just maintain the status quo) should then fire after a day or two. Croatia, Bosnia and Galicia-Lodomeria will be auto-annexed (if they have not been annexed already) if you choose the Austria-Hungary or Federation options. You will gain cores on all of Austria, Hungary (including Slovakia and Transylvania), Galicia-Lodomeria, Croatia and Bosnia, but lose your core on the Ionian Islands.
Also, if you're in a war, the event won't fire until after the war's over. So try to avoid war with the Entente Cordiale or Syndicalist Internationale before February 1937 if you can. Additionally, after making your decision on which path to take with the integration of the new territories, the effect will not be immediate. You should cancel all your tech projects in the 24 hours immediately after choosing your path, to prevent glitchings and such.