I have played Italy a couple of times and found that the most important thing you should do is get all your NOs right away, first turn if possible with Germany’s help.
That means capturing Gibraltor, Trans-Jordan, and Egypt and getting rid of UK ships out of the Med. First round is good to buy a transport or a destroyer to help against subs.
You should try to build up your fleet a little right away, just to secure it, then start buying tanks and planes as you can afford it.
Then with your first full pay (including NOs) buy an aircraft carrier to really bug the Allies and help protect your fleet. After that you will only need to buy ships as the game play demands. The aircraft carrier with planes on it (even if they are German) is a great defense against attacks (sea and air) protecting your expensive Italian fleet you don’t want to loose.
After that combine your tank/plane attack strategy with the Germans and concentrate on Russia. Use Italy to take the first line of Russia defense and on the Germans next turn (before Russia gets to go) use an all out German offensive to capture and hold Moscow itself.
One game I also bought an aircraft carrier with Germany on the next turn after Italy did and then moved the two fleets together to create the ultimate fleet. Allies fell by game turn 6 in that game.
In conclusion Italy can actually be the cataclist for an Axis win. 8-)