I've played and beaten Herzog Zwei and the later stages on the hardest difficulty can get really hard but with a bit of practice you wont have much trouble with any A or B level maps.
Don't try to capture all bases. Focus on capturing just a few bases that will give you a path to the enemy base. You know, a base in range that you can stop at, refuel and then carry on. Small bases close to your main base likely wont need much or any defense (early on).
*I've heard that the more bases you control the more income you have. When I played I never picked up on this so I don't know first hand if it's true but maybe it's something to keep in mind if you find your short on cash.
Once you have a small base within striking distance of the enemy base make sure you defend it well so that he will not be able to take it back. Setup something like 4-6 tanks to deal with enemy troops/vehicle/Robot and 2-4 rocket launchers to deal with the Enemy AI in Jet mode. If he seems to be attacking this base a lot make sure you add a supply truck into the mix. Vehicles can run out of fuel and ammo! When this happens you'll see a little 'talk bubble' with a '!' blinking near the affected unit.
While you're doing all this try to send a single tank or bike (or something) to attack the enemy base every now and again. Start doing this as soon as you can. When something starts attacking a base it's really distracting and often causes a complete halt on any offense; true for both AI and Human player.
Early on make sure you have something defending your base. At least one Tank on each side. Add to the main bases defense slowly but steadily.
Adjust your speed of building a defense for your main vs. capturing small bases based on how frequently (or infrequently) the AI is attacking you. Does the AI seem intent on striking your main base or is it more focused on breaking your control of a small base?
It will always be juggling act between offense and defense.
When you feels like things are under control start building tanks at your mini base closest to the AI main base. (Make sure the mini base is close enough for your Tanks to drive there on their own!) Once you have 6 or more Tanks build but just sitting there; grab them one at a time and change their command to attack. They will all drive away one at a time and it will be hard for the AI Robot to deal with them all. Just at your Tanks are about to arrive at the enemy base fly ahead of them and take out as many of his defenses as you can. With any luck, when you die your Tanks will still be attacking.
Do this all over again
If you keep at Herzog Zwei let us know what worked for you!