In my experience, you don't have to be deep to penetrate a convoy. It is the correct tactic for evasion but you can be at periscope depth when approching/entering a convoy.
The best way to practice this is to have map updates on, that way your can click on the escorts and 'see' their sensor arcs. Usually, there is a lead escort and a flanking escort, use this method to plot your course between them.
Only do this after a period of observation as both escorts will peel away from their course and conduct sensor sweeps. If you try this you will see that it is very easy to infiltrate a convoy in early war. Things change dramatically in later years but the basics are the same.
Good hunting.
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