Avoid leaving your naval units sitting at sea, unless within range of land-based friendly fighters on Air superiority, the more and closer the better.
As the Royal Navy found off of Norway, and even more dramatically in the Far East, during WWII ships were very vunerable if they tried to operate outside of friendly air cover. Even during the Battle of Britain, when the UK faced the threat of imminent invasion, the Royal Navy kept the bulk of its warships at Scapa Flow and only intended to commit them in the Channel when it was certain that the Germans were engaged in a major effort to land.
Also it has to be said that TOAW doesn't really model naval warfare very well: it wasn't designed to - think of your fleets as huge floating artillery pieces and treat them accordingly.
The worst thing you can do is sail cheerfully halfway around Europe, well outside of your own fighter range, sink some weak embarked enemy infantry division, then face a concerted aerial bombardment for the equivalent of a week.
