Try to look for past threads that discuss German Strategy! There is a lot of things to read on the forum.
Moreover there are basic strategy articles on the site that you could read:
Germany Strategies.
You should also take a look to the basic strategies for the other countries in order to check if your opponents make mistakes.
IMHO your approach is quite good. First turn good purchases could be: 10 infantry and 1 fighter or 10 infantry and 2 panzers or other similar combination. In the following turn you may increase the quantity of panzers bought but IMHO you should never stop building infantry.
Advancing on Caucasus or not, waiting for Japan or not… all depends on the board situation. Look at the board and make the assessment of the situation. Each game is different. What is good in one game may be very bad in another. So you have to look carefully to the situation.
As general principle try to inflict the more damage is possible each turn to favour Japanese advance and try to wait for Japanese being in position to attack prior to advance on Caucasus a premature advance could be dangerous. But if Russia is weak and not well sustained by the allies then advance without waiting for Japanese.