I feel a little overwhelmed with all of UK's territory. Are there any theatres you seriously defend and likewise any you aren't too fussed about?
Speaking just for myself, I don't worry at all about the islands in the South Pacific and Caribbean or the African colonial areas that do not border a future enemy (Italy's puppet, Ethiopia for example). I also don't focus much on India, just some militia (MIL) guarding the ports, since it will be a long time before I have to worry about potential trouble from Japan in that theater. Hong Kong and the rares-producing areas west and south of it are important, though, so I make sure Hong Kong is fortified and ready as a base from which to intervene wherever any threat in that area may materialize. Of greatest importance are four things: the home islands (duh, you knew that I am sure), Gibraltar, both sides of the Suez Canal, and Malta. I particularly make sure to concentrate a lot of air power in the Med theater and split my ASW assets between there and the Atlantic (about a third of them in the Med).
How come you don't worry about Navy, I thought the UK needed them to protect their territories?
The UK starts with the second largest in the world, though it is almost completely gun-based instead of carrier based. It is very possible to run a solid naval warfare campaign using just those starting forces, provided one researches upgraded radars, ASW techs, etc. For myself, I usually build just a few carriers (CVs) and using some of the starting forces round them out to one strong carrier task force (CTF) based out of Hong Kong, as my main way to keep the IJN in check in the aforementioned areas west and south of HK. I also usually start building some more advanced destroyers once I get the 1940 techs, just to give me some extra ASW muscle.
I would be really grateful if you could offer a small number of goals to aim for, e.g. Game start, pre 1939, 1939, early WW2.
To sum up what others have said and add flesh it out a bit:
Game start: get all your forces home for reorganization. From those starting forces immediately work on organizing and rounding out your defenders for Gibraltar, Malta, Egypt, and HK, and ship those back out to their respective objectives. For the islands (and Gibraltar) I recommend 3 GAR divisions with ART support plus one zero-width AA division of 2-3 brigades on each one. You can safely omit the AA at Gibraltar, though, since it is unlikely to come under anything resembling a serious air attack. But Malta is for sure going to get bombed (you might even want 4 AA brigades there) and HK, if it gets targeted by Japan, is likely to be bombed by carrier and land-based aircraft. Keep all other forces at home until at least 1938, to save on supply taxes and give yourself extra time to get them rounded up for their eventual wartime tasks.
Pre-war years: do the normal stuff related to building up and rounding out your forces, but don't neglect a few important province improvements: airbases along the southern coast of England; coastal forts at HK and all your Med ports; port improvements anywhere you plan to operate or stage large numbers of ground forces, including south of Ethiopia to supply the far side of that area when you attack it from both sides. Also start and maintain a relative small but very long-running serial build of convoys so that by the time war begins you have a relatively inexhaustible supply to enable you to endure convoy losses from German and Italian raiders.
War start: by the time war is likely to begin in late summer of '39 you should have built and deployed all the forces needed to defend everything mentioned above plus: a compact, potent mobile force to drive the Italians out of North Africa; a compact, potent force of MTN troops to intervene in Norway (if you plan to do so and Germany decides to attack it); a compact force of marines (MAR) in HK for use in foiling Japanese attempts to attack Allied targets in that region (but let the USN deal with defending/retaking stuff in their own sphere, including the Philippines); a very small force, likely MIL, to occupy Iceland when Denmark falls; a large and diverse air force deployed to let you combat naval threats in all important theaters (NAVs), defend your own objectives from bombing (INTs and/or FTRs) plus a ready force of air-to-mud assets (TAC and/or CAS) and INTs which you can deploy to aid your allies like France or intervene wherever ground threats materialize. And of course you need a large number of naval task forces organized and deployed to control your most critical sea lines of communication and supply, i.e. the North and Mid Atlantic, the Med, the South China sea around HK, and possibly the Indian Ocean.
Whether or not to deploy ground troops to intervene in France and/or Norway is a personal choice you should make from the very beginning of the game, so that you can use the pre-war years to research and build the units appropriate to your intervention strategy. When war has begun, you can begin crafting and deploying a moderate but cheap force to protect eastern India in case Japan should come at you that way. More risky strategies like trying to intervene in Denmark in order to keep the passage open to the Baltic are probably best left for future games when you have become comfortable with the process of dealing with all the usual threats and have learned where and how to safely cut corners elsewhere.
P.S. to answer the earlier question about CGM - it is a custom start method that was added in TFH which allows you to alter the starting techs and units of your entire nation before the game begins. It can be very cool to use it to craft the starting situation in order to enable more adventurous strategies for more ahistorical gameplay ideas.
