1943 Conquest with Egypt

I actually had an easier time with Egypt than I did with China in 1943 Conquest. The relative weakness of nearby enemies gives you a chance to build up without having to defend for your life. The three star factory in Cairo is also a big advantage. I finished in 41 turns with my dream team generals. You also start out close enough to Japan and Europe that you don’t have to waste too much time crossing giant land masses and oceans with your troops. Army you send south to take out Italian Ethiopia can transition towards Thailand and Japan. Army you send west towards Tripoli and Algiers can cross Gibraltar and quickly destroy Spain and then sweep across Europe.

Hey, I know what you're talking about. The allies always steal your s@#t.

The approach depends on Your gens and techs.
Mostly on low techs and not the best gens You need to hold for a while - to kill nearest enemy's main wave with generals and start Your own advance only after that.
In case You have powerful gens (especially tank gens) and/or high tech You can start Your advance from the very beginning. It is not even necessary to focus with all Your forces on every enemy general..
When You are too late (means most of Your allies are defetated) to create huge empire and strong economy it is quite painful to contunue the conquest.
So generally it depends on Your game progress quite a lot.

I guess, you might go to European front a bit too late. My suggestion is that you go help your European allies as soon as you capture Nanking and Beijing. After taking these two major cities, the Japanese threat on land is pretty much pacified, and you can deal with their homeland later, whenever you have the resources to do so. IMO, preventing your European foes from getting to strong is more important than finishing off Japan.

-And if you have problem holding off waves of enemies' troops then build a lot of forts. They are cheap and sturdy. 
-If you think that you are too late and counter attack does not seem possible, then you can wait till you get access to missile. By that time, you probably have a lot of industry and tech resources that allows you to launch a lot of missiles. Use missiles + paratroop to knock out small enemies (Bulgaria, Hungary, Finland, Romania) one by one so you have less enemies to worry about (make sure that you look through the map and these small countries do not have any city or port far away that would prevent it from defeated).

There is slightly different way to do it. Go for Athens immediately within the first few turns by building a stacked cruiser with a navy general. Focus on bombarding/ capturing the city while saving money. Keep your army near Egypt solely to defend. Once Athens is captured, spawn a stacked heavy tank with a strong armor general. This is when it gets tricky, you will be targeted by the entire axis forces in the area so just try to survive. After surviving the onslaught, clean up Bulgaria, Romania and Hungary and whatever cities north of Athens. By doing this the game in Europe changes, Russia starts beating Germany, England doesn’t lose any cities to Germany and United States start to cleanup the cities near Paris. Italy becomes passive and Germany would not have any troops left to fight as they are constantly being cleared by soviet rocket artillery. From here taking Africa and Europe is a piece of cake. Over at Asia, United States have more or less destroyed the Japanese navy while China and Australia is holding the fort. I was able to take my time over and conqueror Japan and Thailand without much resistance.

I took about 56 turns to complete.

Ooh, was taking out Japan not hard? What was your general team btw? 

Oh alright, this might be possible with just Guderian and perhaps Messe. OK now I want to try this