I've now played two games or actually completed one game in chieftain and now soon ending second game in noble. I haven't yet seen that I would exhaust my resources and I can get so easy all the resources I want, actually I don't have to do anything for resources.

Does resources exhaust or is there option to select?

no they dont (maybe moddable????)

Dang. It was one of the tension and those oh boy oh boy moments in Civ III. I seriously hope that this will be changed or modded somewhere at near future.