Okay, air support. You need "green air" ideally. If you attach aircraft wings to armies it's basically avoids the micro management. I tend to use it on large fronts. Make sure you set the role firstly, so if you want close support, you choose the relevant aircraft, then it's role, then decide if you want to attack day/night, and if you want to be cautious or not. Attach the wing to the army and the army will then decide where to use them. Works well. If you want to intercept say, protecting france from bombers, then individually micro the wing yourself.
Always, always train your armies till their little logo changes to trained. If you mouse over the stats you will see the benefits. It's pretty significant.
Naval stuff has changed since you played it - and yes you are right about the zones. So the best way to do it now is to assign commanders to different zones, even if that is a single zone. To be fair, it works quite well for me. For instance, I have a task force set to convoy raid the atlantic, and i assign relevant wolfpacks to do that. I make sure every zone is covered, so there is simply no escape, and I make sure there are at least 10 subs per zone. I've sunk 450 transports and light hulls using this method, to just 37 lost. Make sure you check the buttons - you can tell them to attack cautiously, or be more reckless, and whether to split damaged ships off automatically so they head to friendly docks for repair. There is a huge amount going on behind the scenes, and its far more complicated than I have time to go into here. But it's worth researching.