There's a MAJOR difference playing the AI vs. playing a human, especially with regards to the naval game. The Allied naval AI can be quite predictable and dumb and will often allow you to pick off capital ships while it fruitlessly pursues a sub.
Playing the Kriegsmarine against a human is MUCH harder, but here are some things that have worked for me.
First of all, if you want to do some mischief early in the war, then don't forget CRUISE MODE. Because Britain is not a war with Germany on turn 1, you can cruise your fleet out into the wastes of the North Atlantic without getting ambushed by the Home Fleet at Scapa Floe. Your ships can whip right by them and they won't even see you. Leave your destroyers at home with one CA, take the BCs and your subs to the western Atlantic (send the BCs as far as they can go, use the subs to form a screen between the BDs and Scapa, in case your opponent suspects what you're up to. Once in the Atlantic, the BCs and SSs can meet up with the other CA. Wait a few turns until the weather is likely to be stormy (no carrier attacks). Put two subs onto the convoy route, leaving your surface ships 4-5 hexes away--no further. An orthodox Allied player will sweep the convoy route with DDs. With any luck, a DD will run into a sub, and take some damage and stop (if it doesn't get stopped outright--it will not be far away--there's a big AP loss for being ambushed. On your turn (assuming the weather is stormy--if it's calm, then keep your distance), switch the sub that got hit to Silent mode and use to scout around the Allied DD. If there's no significant Allied assest, then whack the DD with your surface ships (you may be able to finish it off with your silent sub, retreat the surface ships and place a sub or two between them and the likely direction of any Allied counterattack. I have managed to sink 1 or 2 DDs without loss by early 1940.
Second, if you want to be able to continue playing a viable naval game as the Axis beyond 1940, I think (though others may differ) you have to bite the bullet and grab Iceland. This means attacking Denmark in 1939 and sneaking a Transport out to sea to be ready to land at Reykjavik. This US will get mad, but you will have a mid-Atlantic base. You can also use Greenland ports for re-fueling until they become US territory in April 1941.
It's true that the Kriegsmarine cannot go head-to-head with the whole Royal Navy, but if you patiently practice commerce warfare and what German naval strategists called "Kleinekrieg" you can make a significant contribution to your overall goals.
Sorry for the long post. Snow day.