In hindsight and once you read a few books like Tooze's "The Wages of Destruction" or Overy's "The Bombing War: Europe", you start to realize how fucked Germany was after they lost the Battle of Britain.
And it only got worse from there, because Adolf's dear buddy Benito suddenly became a liability as soon as late 1940 and 41.
* Nov 12-13 Battle of Taranto, 3 Italian BBs hit and one damaged beyond repair
* Dec 9, Wavell starts his offensive in North Africa and the Italians lose the 10th Army.
* Early 41, a British Expeditionary Force liberates Ethiopia.
So in 41 the first victim of fascist aggression is already liberated and Germany's only significant ally lost over 200.000 soldiers. At the same time the Greeks are pushing the Italians back into Albania.
Germany, despite having won every land battle, is no better off than before the invasion of France. They have gained a lot of terrain, but relatively little in resources and the productivity in the conquered countries is at an all time low. At the same time it's most dangerous adversary is still in the game and has started night bombing your cities (needle stings, but they still hurt your pride), the US is becoming more hostile every day and who knows what the Russians are planning.
...
There isn't really much that Germany could have done differently to change the outcome. Let's say it's 1933 again, the Nazis come into power, and thanks to some divine (or infernal) prophecy they now know that in 1940 they need a navy, an air force and enough landing boats to assault Britain. Not matter what, they would still be restricted by natural resources and financial and economic realities. And the steel which now goes into the fleet will be missed in rearming their land forces. Also how would Britain have reacted if Germany had suddenly started a huge fleet building program like the Plan Z ?
There was never enough manpower to have a huge army and enough workers, neither was there enough industry and resources to produce the necessary armaments to have a navy, air force and army capable of taking on anything, there had to be constant trade-offs and Hitler being his mercurial self, certainly didn't make any long term planning easier.
The only scenario I can imagine where Germany comes out ahead is to quit after the treaty of Munich. Grab Austria and the Sudentenland, maybe even Prague and then be content.