After my own experiences with the different (surprise) sea lion options GE can conjure out of its hat, I usually do 1 of the following with the UK:
In case of a planned Sea Lion (GE1 you will know). Kill the malta ‘fleet’ with 1ftr+1tac, leave a dd in SZ94 and move the CV(2ftr)+CA to SZ93. Land the tac in Gibraltar if it survives. The TRS can pick up the AAA and INF from Malta and transport them to Gibraltar as well. Together with the UK1 + UK2 buys this will save the allies from a disastrous fall of London. If GE chickens out, all Gibraltar and SZ93 stuff stays/returns into the med to give Italy hell. Saving London may cost you Egypt for a few turns, but as long as you can keep your army alive and reinforce it from India (RAF) and fast units from SA (you can even buy RAF units there), you will take it back. If GE does NOT chicken out you will have a much harder time in Africa but after a long game you should be able to drive the Italians out (again, Indian reinforcements!) and the axis are much more likely to loose the game due to a very strong Russia and (if Japan allows it) USA liberating London
In case of a surprise Sea Lion (GE1 all barbarossa buys and movements). Personally I still play cautious with the UK, in fear of a nasty German surprise. As a result, I keep the STR in London (and buy 2more to destroy any surprise TRS builds), don’t scramble and don’t move a single spitfire out of Britain (with UK2 buying 1 or 2 CVs in the channel, all 4 spitfires can reach any surprise built German fleet). Therefore I cannot do ‘Taranto’ if GE also has scramblers there. Instead, I attack SZ 96 and strafe Tobruk, killing as many Italians without using the TRS. SZ96+99 will be blocked off to protect Egypt while I stack Alexandria to the max. The CV will go into SZ81 to receive an Indian tac+ftr. Persia will be aligned (use the TRS). IF Italy brings more troops into Africa, they are insignificant to what UK has left and their TRS will all be dead (and their protectors, if any). Alternatively, you can just stack Alexandria with the blockers in place. Really, Italy can never win in Africa unless GE is stubborn in executing Sea Lion, which should cost the axis the game in the long run anyway (given LowLuck results, that is).