if it doesn't slow u down or interfere with your main strategy or focus, than it is good to get the holy city of religions (and possible holy shrines if u get the gp for it). u also get the other benefits too (like the usually example of getting FOL first for making AF, than switching it to the true-real religion u want) or if u can/are able to to spread the religions around for more happines/experience (if using religion/theocracy civics) or whatever benefit of spreading it.
but if it does slow u down or interferes with your main overall strategy and focus, espeically in an competitive mp (human or ai) game than do NOT. normally, u can really only go for 1 religion, more than 1 is usually impractical and hurts u more than helps u. ....sometimes....just going for a (1) religion can hurt u more than help u......the 2nd tier units come (their techs are sooner/faster/quicker) before religion units...(get religon tech which takes way longer than the 2nd tier military unit techs, spread the religion to other cities, and make the temples...)