In fact he cut my resources!
So going for Cutoffs instead of trying to hold ground?
I did relatively good in unit preservation but it didn't help me much. And due to the fact I constantly struggled to hold territory and control my fuel I had my Schwerer Panzer HQ up when his Pershing hit the field. So I guess I did something horribly wrong?
Any tips with build order or how to cut his resources? Harassing all over the place maybe?
I'm not a great player, so this may be totally off the mark, but it sounds like your Schewerer HQ was too late, possibly the Luchs too. Did you go straight for Mech HQ or Medical first? You need to fight tooth and nail for at least one of the fuel points, spam mines on it, MGs, do whatever to keep hold of it, otherwise you will have no late game with OKW.
The Luftwaffe doctrine is good, as others have pointed out. Try to spot his staging area (where he parks his ambulance), spawn a FJ squad next to it when he's not paying attention and destroy it if you can. That will hurt him a lot.
Also, never stop (de)capping if you can. Once you force a retreat, try to (de)cap as much as you can before he comes back. Have a kubel ready and harass any territory you can when his troops are elsewhere. This will tax both his resources and his micro.