Have you checked out the different warhead types? HEAT type warheads are excellent for longer ranges because their penetration value drops much less (if any at all...) at increased ranges, unlike AP and SABOT rounds.
Combine 'HEAT' type warheads (tank rounds or ATGM's) with a unit with high hit probablity (high FC and Range finder scores for example) to get more kills at long range.
The learning curve is a long one for this game btw. I'm still learning new things myself.
Find what works for you. One advice you'll often hear for example is to take out enemy artillery. Not from me though. "Don't bother" is my take on it, it's usually not worth the effort. The best way to deal with artillery (in the game) is to use mobility. Don't be where the rounds land. Your opponent (AI or PBEM) will be wasting combat power (and purchase points) and you won't have to invest any in 'anti-artillery' units giving you more points for other uses (more tanks maybe?).
And it's a lot of fun to see the enemies arty land where you're not turn after turn!
Narwan