I tend to ALWAYS settle great people, but be sure to protect them with spies
Great Leaders I settle 100% of the time, it makes impenetrable defense for defense units and unbeatable attack for those units when combined with a baracks
Great Scientists I settle 98% of the time. The Science boost is very valuable and = to democracy for a single city. So you can still have a lot of science but be able to declare war. Or you could combine great scientists with wonders liek Colossus and EIC and maybe rush a university to create a beast city and basically win the game through perks
Great Explorers - These are the only ones that I almost Never settle. Whenever I get them I sigh, and Usually save them for a gold city. If I get them very early in the game, I ALWAYS save them for the Modern Era for the 400 Gold. Same with the 7 cities of gold Wonder and Knights Templar. Wait until at least the Industrial Era when its worth something
Great Humanitarians, I used to always use them, but now I realize just how great they are if you settle them. Settling them makes your cities grow as if their population were bunnies gone wild. If you add this with The Zulu medieval bonus + aqueduct + harbor + any resource of food; you = like new population every 3 turns. Beast cities!
However, if you have like 20 cities and its late in the game, thats when its better to use them.
Now, my favorite, Great builders. If you get one very early, put it in your most promising production city, and it will be a very good production city. If you have a hill early in the game, and you get the construction bonus, you are in good hands for the rest of the game. My favorite especially is getting Communism First + Industrialization = 67 resources for a factory. Also, half cost libraries for greek and chinese + great builder = 10 Resources for a library, thats = to a warrior! However, using them strategically is important to, if your'e ahead in science and unlocked a wonder no one will out date for a long time like EIC or Trade Fair of Troyes, then build it. And if you're far behind and you need help, especially in a multiplayer game, Rush the Manhatten Project. You can threaten over the Mich and win through terrorism. Very Fun
Lastly, Great thinkers/artists: I always settle them. Your terrirory will BOOM. In addition its tough to get flipped and it will save a doomed city and maybe even flip another city. Converting cities seems fun at first, but often the city that you can convert is the most recent city built in the entire game. Therefore it has a crap population, and almost nothing in it, therefore its very tough to defend especially if its on the otherside of the world. If its right next to you, then definetly settle him in the closest city, and it will flip through natural causes + some wonders.
GREAT PEOPLE RULE!!!
P.S. - stealing them is very fun, but being stolen from SUCKS. So be safe, use a spy.