You have to know when you can toss gloves and when not. In other words, you have to learn your ranges. In general, tossing gloves two sweeps away gets you killed quickly. On the other hand, if the Cyrax payer is spamming nets predictably, I definitely take the risk and jump forward. Freddy's damage after a jumping punch is very good. Also, do not be afraid to turtle Cyrax if you have the life lead and the clock is running out. Sometimes the best thing to do is nothing.
The three most important things versus Cyrax are the following in my opinion.
1. Know when to toss gloves and when not to.
2. Know how to save as much meter as possible.
3. Know when to break and when not to.