The UU is a very useful ancient era unit. (excluding its upgrade path) Its purpose in life, with the Foreign Lands bonus, free pillage, and faith on kills, is early game warfare. Use it to kill barbs, use it to kill enemy units, use it to pillage their countryside. Just use it. Use your religious head-start to get your favorite pantheon. (I prefer +1 production in cities of size 3+ for the early production lead, but it's not the only viable pantheon) Have an early war. If you wanna be a warmonger, just wipe your neighbor off of the planet. Otherwise, just get a lot of kills and use your superior army size to get a good peace deal. You can have another war when your Pictish upgrade to Pikemen, but keep in mind you lose the faith-on-kill upon upgrade.
The strength of the Celts is that they always found a religion and start strong if they start aggressively.