Currently, I am a student in London. I am applying a long stay visa for study in France but I want to enter Italy first. Is it possible to do that and what are the documents I may need to submit to application? I have filled the application form online, it did not ask me for the any proof for other destination or where will be the first entry country?
The application form for a long-stay student visa does not ask about itinerary, visits to other countries, etc. like a Schengen visa application form because it is not intended for trips across Europe but only for people who want to study in France. Having a French long-stay visa or residence permit does allow short stays in other Schengen countries (up to 90 days in any 180-day period) but it is presumed that this is not the purpose of your application. If that's the case, then you need to apply for something else.
That said, since a French student visa is a type D visa from a Schengen country, it does allow you to enter Italy or any other Schengen country for a limited time, certainly for transit. It's not required to enter France first and you don't need to submit any specific document to enter through another Schengen country, it's simply a side effect of having a French long-stay visa.
French student visas used to have mentions like “(+1 transit Schengen)” and to require a “validation” within two months that would seem to put some restrictions on that but apparently that's not the case anymore. You will therefore get a regular one-year visa and, after the first year, a one-year resident card and both can be used to enter Italy.
I suppose that the validity of the French student visa will be based on the date your course is starting so if you plan a long holiday in Italy before, you might find that the period of validity does not allow it. You would then need to apply for a separate Italian Schengen visa for your trip to Italy. There is no provision to request a longer validity on a long-stay visa to squeeze a trip to another country for another purpose at the end or the beginning and the French authorities will only consider the main purpose (your studies in France) when deciding on your application.