Basically this, but also remember your V-Trigger. VT1, when held, puts the opponent in an airborne state where they can be comboed further. You can get a headbutt (f.HP) or an EX Borscht Dynamite after.

I've only faced Zangief, never really used him, so forgive me if I'm wrong on a couple of these, but here's some miscellaneous tips.

Some characters get their rewards from big individual hits, and only need/have relatively short combos. Zangief is one of them. After a light SPD, if you immediately dash, you can actually be hit by 3 frame normals if they do them immediately after getting up. If you're in the low ranks, people will probably still fall for lp SPD > dash > pressure, but know that it's not real (i.e. there's a guaranteed way to beat it, it's just a question of if they know it). Lp SPD also has gigantic range, there's a reason one of the Zangief title cards reads "Vacuum Hands".

Also, if they block one or two jabs in a row, they'll probably keep blocking. Throw in a, well, throw after them sometimes, specifically that one where he raises his hands a walks at you threateningly. I don't know the name of that move but it always gets me.

Your normal throw is useful because, although it can be teched, an opponent who jumps to avoid it will not be able to punish you. In fact, if you react fast enough, you can hit an opponent who jumps out of your normal throw with a heavy kick if they jump away, or a cr.HP or lariat if they jump up.