Italian campaigns in '36 are a great way to reach far ... and fall further. It's very easy to lose track of manpower in the heat of things. Italy can be quite the participant by way of sending small volunteer corps hither and yon (Spanish Civil War comes to mind, great training for your fledgling 'armored' corps). You could continue to do so until the European war breaks loose in '39 by sending volunteers to help Japan against China too.
Depending on how pseudo-historical you want your first game to play, you'll want to use National Foci to set your foreign policy decisions. It keeps things simpler while giving you narrow time windows in which to set up your line forces.
I'd recommend your first single player game as Italy via the tutorial. There are quite a few differences from HOI3 and 2. Weather isn't on its own map, it's right there for all to see. I don't recommend leaving troops in Ethiopia - Libya is hard enough to supply as it is until you've sewn up the Med. Not an easy task for Italy on her own unless you time things rather tightly.
Perhaps this is a good way to learn the ropes with paradrops as well. Airdrop into Malta and the Suez while Italian Marines storm Gibraltar! (Granted, this last is a bloodbath waiting to happen if you've not cleared the path for your Marines, but still!)
Above all else, have fun with your very first game. As with so many things, there's nothing quite the same as your first crack at the grand stage of pseudo-WW2. Enjoy it, whatever your decision!
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