Thanks to everyone for encouragement, and @Sir Humphrey: fun? Thats not a good enough word for it.
Stuff got really close in those past few months, yes its impossible to starve out the British Isles in this game, but my colonys were really starting to be threatened. The problem was, Donitz would move to a new location, sink 30 transports in a day or two, then move to a completely new location soon after my ships arrived. Ultimately though, managing convoys myself rather than letting the computer doing it, as well as simply using more and better ships, ultimately led to the end of the U-boat threat. Unfortunately, the next part is the (probable) fall of France, which will allow the German fllet and subs out into the ocean again. But thats up to Shadow Kotten and the players after him to sort out.
All round though, its been a good start to the war, with no major disasters.
EDIT/ some may notice that I rarely mention actual numbers of troops. I will never say "fifty thousand troops" instead of "five divisions", never actually state the number of aircraft involved, and certainly never the actual number of convoys sunk (you can get the picture by what adjective I use). This is because I consider the numbers used by HoI2 as way off what they should be, and because I cant be bothered to research the actual statistics and translate them over. Finally, the reason I'm doing my part in this AAR so fast is because I want to finish it before I go back to school and get bombarded by Homework.