The first thing you need to realize is you are not alone in the battle. It will take all 3 Allies to beat the Axis, but due to other priorities you can't really expect significant help from the UK and US until round 4 or 5 (outside of some air support). So, what is a good way to set up a solid base and ensure your survival until the Allies can take some pressure off of Moscow?

8 infantry: Purchasing 8 infantry is pretty useless for Russia’s second turn’s offense. Although infantry produced at Caucasus can potentially be of offensive use, it is usually far more useful to bulk infantry at West Russia. (If infantry are split between Caucasus and West Russia, Germany might decide to hit one of those relatively weak territories; if infantry is bulked at West Russia, Germany could take Caucasus, but would immediately lose it, and thus lose valuable forward placed German units). On the other hand, if Russia wants to trade or hold territory, infantry will be needed; those infantry have to be produced sometime, and the sooner they are produced, the sooner they can get to the German or Japanese fronts.