It largely depends on what country you want to play and what a lot of folks have said above is pretty much the norm, but I'll add one for if you're playing a major lol.
Step 1. Select a Theater HQ
Step 2. Select the theater "Paint" tool and paint the entire world map in that theater's color
Step 3. Select your entire land army the world over
Step 4. Delete each and every HQ unit.
Step 5. Select a random unit, click the bar on the far left that is slightly visible, hit the "theater forces" tab to attach everything to your only remaining HQ unit.
Step 6. Select all units and have them walk to your capital.
Step 7. Assign random Logistics Wizard general to your single HQ.
Step 8. Have all of your air units fly to your capital or the nearest air field
Step 9. Have all of your naval units move to the biggest port nearest your capital - if you're a major naval power (Japan/UK/USA/FRA/ITA/GER).
If you're playing a more minor country still follow all the steps, but you'll want to make an place-holder OOB when all of your units finally arrive in your capital, for the majors you won't need to make an OOB again until you plan to fight UNLESS you intend to sell supplies to make money (some nations sell supplies for money to buy resources to maintain IC, some nations that have resources and sell those for money and buy supplies to free up IC). If your supply need is over 2-3+ IC, after all your units arrive in your capital, you'll want to make some sort of OOB.
If you're playing a VERY minor country you may not want to make a full OOB as the HQ units count as regulars and will increase your consumer good need slightly - which will result in some fraction of your 5 IC being wasted on them.
Other random tidbits:
If you're playing a major you want to start building a little bit of everything from day one to preserve your practicals. If you're playing a minor you may only be able to build INF or attachment brigades.
If you intend to have some kind of a navy you want to start building at least 1 of all the types of ship you intend to have down the line to boost practical - there's a huge difference between a battleship that takes 2 years to build and costs 15 IC, and a BB that takes 15 months and costs 8 IC lol. The same goes for Air Forces - since a single INT wing gives you +2 practical gain, building at least one will ALWAYS net you a substantial amount of practical and will in turn make all future light air wings will be cheaper
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Review your nation's tech screen, see what you may have very high practical in. Most countries start with 0 or 5 practical in most things, but occasionally they'll have a higher practical elsewhere. For example the USSR starts out with 10 practical in Militia. If you intend to build any militia or garrison divisions it'd be a good idea to bang at least some of them out right at the start because your practical will virtually never be higher again and you'll receive those units at a 10%+ savings on IC and build time (unless you intend to build a purely MIL army then it will be higher at some point). Especially when it comes to very expensive things like planes and ships this screen can guide you on what you *should* build. If you have 0 practical in something you want you'll want to start building it more slowly at first and then ramp up production later.
For example, a few nations can theoretically benefit from building IC: Germany, USSR, USA in particular; but factories are expensive and take a long time so generally one will start their factories on day one BUT also start building some infra or air fields to boost or at least maintain their construction practical so that the factories ultimately get cheaper or at least don't get more expensive before they finish. Even if you don't intend to build IC, building at least some infra or air fields at the start can be beneficial as well if you've got the IC - as they'll speed up your research on Industrial Production and Industrial Efficiency, and you should generally always research industrial efficiency. A nation with 5 construction practical at the start for example, will need to constantly build 3 air fields in order to keep it at 5 and any more air fields will result in a net gain of .1 practical.
To figure out how much of a thing you should build to maintain your practical: your theories and practicals decay at a rate of -.1 per month unless you've got a minister that slows it down. So if you've got an item that gives .1 practical, but takes ~3 months to build, you'll need to build 3 of them to cancel out the decay of .3 that will be suffered in that time. You can also use this to MASSIVELY speed up the production of expensive things. For example if you want to build "Glorious Battleship Fleet" you *may* want to start building your second BB once your first from day 1 is about 1/2 finished, then although you'll still pay an exorbitant amount for BB #2, it will be mostly finished and significantly cheaper than BB 1 was, once BB 1 finishes due to the practical gain.
