I usually puppet until I can get enough population and military garrison to support the city. Then, if it's a well-placed, big city, I'll most likely annex it. If the city sucks, it remains puppeted, and if it really sucks, I'll raze it.
Except when someone settles in the exact spot I was going to before I can get there, in which case I usually raze the city to the ground and build a city on top, to avoid the warmonger and occupied unhappiness penalties.
Personally I prefer coconut cream pie.