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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.
 
That's weird, I mean a federation should, in theory at least, attract more people than a quasi-authoritarian monarchy in which the austrian/hungarian population is, let's face it, a minority.
One thing I found somewhat annoying was that during the event cycle, when Hungary basically told Austria to go to hell and I picked "fight for it", nothing happened. Hungary remained puppeted (despite having negative relations at that point), and the Emperor remained HoS in both countries. So what exactly was the fight with? White lillies?
I must confess I didn't have the patience to wait and see if a further event chain would have fired to resolve the issue, but I felt kinda upset and promptly declared war on... myself I guess. The peace talks must have been an interesting affair. I think mirrors were involved ;)
 
I'm pretty sure Hungary's choice to go to war with Austria over the Ausgleich is bugged. I was playing another country, made a save just before the big decisions, and kept loading to see all the different things that could happen. War never broke out, even when I loaded as Hungary and specifically chose to fight.
 
I'm pretty sure Hungary's choice to go to war with Austria over the Ausgleich is bugged. I was playing another country, made a save just before the big decisions, and kept loading to see all the different things that could happen. War never broke out, even when I loaded as Hungary and specifically chose to fight.

As above, there is a chain of events that are spaced out. Choose war and there are events between Austria, Hungary, and even Germany that take place days apart, quite realistic.
I thought war was not happening but the final option comes after Germany chooses who to side with and both sides get one last chance to back down...