The thing is, you don't really need your faith for anything else after you've enhanced your religion until the Industrial Era unless you're on the Piety track and can produce units. Getting more Great Prophets is nice but hardly essential compared to culture, happiness and of course more faith. Also, if you avoid producing Great Prophets at this time, they won't be as prohibitively expensive later, when you have contact with more other civs and occasionally want them to appear.
What difficulty are you playing on?- That's going to Influence a majority of decisions regarding religion. The majority of your early game faith at immortal and more so on deity should be spent on Missionaries.
You are playing on Marathon you could have generated more faith on Marathon by investing the hammers you put into Stonehenge into Pictish Warriors.+Two ancient wonders vs. no wonders (I was lucky to get Stonehenge I admit, probably because there aren't any religion-focused civs in this game, but I have the time and production to build it, which I didn't on the alternative track).
+A medium sized army vs. a pitiable one
+A small gold surplus vs. being borderline deficitary
+Medium production value of cities vs. pitiable production value anywhere but the capital.
=comparable faith output
-a little less population since the desert cities have more fertile terrain.
Could you provide your starting save, please?