Wrong: On the first call, "Oscar Echo Delta Mike Sierra, request engine start."
Then responding with: "DMS, roger."
Correct: On the first call, "OE-DMS, request engine start" (company/national prefix + number or letters).
Then, ATC may say: "DMS, engine start approved."
Then you respond: "DMS, WILCO." (Now you can abbreviate.)
Rule: Use your full callsign until ATC abbreviates it. Then you may abbreviate the same way ATC did.