In my two playing groups the norm is for R to send everything into W Russia. On occasion a mad G player then tries to attack that stack, but the odds are against him and his high value units are at risk. If G tries that and allows R to take out too many of his high value units, then the allies will win the game.
Instead G air is better used to support naval units clearing the Atlantic, so as to slow down the inevitable allied fleet off Norway. If that fleet arrives too late Moscow will fall, especially if Japan is helping via China. So slowing it down is critical.
G will take Leningrad and the Caucs but R can retake from from W Russia.
Usually G recognises that the war is won in R and does not go for Egypt. Africa is worth so few ipcs that it gets little attention.
That is my two playing groups. No doubt your will find a different way to play!