What Chaos said. Treat them gently, put them on refit mode at least ten hexes behind the lines, and when you can, form them into cavalry corps (5 ap per corps) and then assign three support units to each corps. Ideally, you want to have some armor, like an independent tank battalion (or later, regiment or assault gun regiment), some AT capability, like an AT or TD regiment, and some backup infantry, like a ski battalion or motorcycle regiment, but any SU are better than nothing. Then, they will lead your winter offensives in 1941-42. Later, they will take second place to your rifle corps in your combined arms armies but will still combine a respectable punch with good movement abilities when you go over to the offensive.
Oh, and I don't know if you noticed, but when they arrive they are set at max TOE of 20%. You want to reset that to 100%. Upper right hand corner of the unit detail pane.
Some arrive at 20% (turn 4), most are coming in at 100%. One of them (turn 5), the 21st Mtn Cav Div actually is almost 100% filled. Amazing!
I wonder about assigning support however. I have not got to a point where the Russians can assign support units to combat units, but my experience with the Germans makes me hesitant to explicitly assign support units. I would like my support available to all the units in the Corps/Army. Only when the unit moves out of HQ support range so I start assigning support units, and then only if it the odds look dicey. It cost one AP to return them to the Corps/Army, so the less assigning I have to do, the better.
My typical practice, particularly for PZ divisions, has been repeated hasty attacks with no assignment while still in range of the Corps HQ, then once the division is out of range I may consider assigning support if I run into a dug in unit or some other similar circumstance. Then, the following turn, I leave the support assigned until the division has finished moving at which point I return the support units to the HQ. That way they will be available to the rest of the Corps on the following turn.
The Soviets are usually shorter of AP than the Germans, so the 1 AP cost to return a support unit to its parent HQ is a consideration. I generally just try to get my corps to a balanced lineup and leave it at that, unless I'm doing something special like attacking a level 4 fort in urban terrain (when you want flame tanks and heavy support gun units). Soviet generals are often pretty poor quality especially in the initiative rating, which IIRC is what you use to send support units from HQ to a battle. I still make sure my IHQ (Army, typically) is full of support units, especially artillery and rocket regiments.