Perhaps the main question is whether you play historic or not. In a historic playthrough, you don't benefit from early expansion at it pushes up world tension and messes up the timeline. This can lead to a lot of weirdness as countries try to follow a sequence of events that no longer makes sense. If you play historic, leave Yugoslavia until 1941. Maybe you can even make it join the Axis?
In terms of strategy, the main goal of Italy is to take Suez. Whoever controls Suez will eventually control Africa. This in turn means that you need to find a way to neutralize the Royal Navy in the central and western mediterranean, so how you deal with your naval expansion and upgrades is key. In general, Italy will not be able to compete with the UK in terms of industry and resources, so you need to be very cost-effective. And since in NSB was is won by xp, you need to manage your xp very wisely. Italy does not need any tanks, but it needs to make its infantry divisions a little larger. Size 6 divisions are ok in the defense, but take a lot of damage on the offence, so you will need at least 8 inf. In addition, you can benefit from 2-4 motorized divisions. These would not attack the British, but exploit a breakthrough and cut off their retreat. IF you want to use tanks, the existing template is a good starting point. For Italy, 4 LT + 2 Cav is an ideal armor division, for which you can design 6 km/h tanks with low cost, low fuel usage, and high reliability (you will want 100%). Being a little faster than Inf it can still help with encirclements.
But your main focus is your navy. And keep in mind that xp is used both for designs and doctrine - and without the extra org from doctrine your ships will sink quickly. And you need navs and fighters to control the central and eastern med.
EDIT: You will also want to optimize your naval upgrades. Upgrading to the next level tech (e.g., AA1 to AA2) is does not make a big difference and replacing a module is expensive. On the other hand, upgrades do not cost steel, which Italy does not have much of. To get more, upgrade the infra for provinces with resources, but never beyond 4 since you have a focus. And make sure to have a high-level railroad from Rome to Anzio or another nearby port.
It is also worth noting that level 6 commanders can become expert advisors.
Good Luck!