Well, I haven't try this, but it seems funny, so I'm in. As soon as I finish my actual game with Persia (it's running quite well, so I'm reluctant to leave it), I'll make my own try. In Monarch, and on Vanilla.
I think go for Europe it's a waste. So much people there. It's a nest of crows. America it's cheesy, but need Astronomy makes things more hard. So I'm going for Africa! Here we have plenty of resources, and it's usually empty, specially on the southwest, (Madagascar's surroundings), where I'll start to settle. We can reach there with galleys, so we don't have to mind with Astronomy, and go for Gunpowder directly. Thinking we have China and India on our hands, it should be a good idea on some point to move the capital to Delhi. Choose one of the Indian religions and spread it onto our lands will be also helpful, as a side-objective, to consolide our culture. Building the two temples in Delhi, and putting two priests, should be enough to spawn one Prophet, to build the holy shrine. To rush it, we can try to build there the Pisa's Tower, or Angkor Wat (so we don't need the temples).
Relying a bit on luck, Persia should had fallen, and Arabia will be fading, so Middle East may be next step. Have a close eye on Russia and the Mongols, and wait for them to engage in war. This should be the moment to launch our army to conquer former Persia. If the Arabs are in the way, we have Muskets and Elephants, so there shouldn't be problems to manage it. Finally, we have two options from this point: make a Suez channel, and go for Europe (now we're ready), or put our effort in research and beeline for Biology to conquer Indonesia and all that resources. Whatever we do, if there are barb cities in sight, we can do some raids and collect some coin by razing them.
If we still need more lands (and we're not completely ruined yet), now's the moment to go for America. Probably Americans have spawned yet, but we can reach Wild West before. If the Aztecs are still alive (and even if not), conquer Mexico will be a neat idea. American will crush our poorly developed armies, so we should stay friendly to them. Incans should be our last campaign.
Suggested wonders to build along the way: the Colossus, the Lighthouse, Angkor Wat (in Delhi), the Forbidden Palace (for an African capital), the Kremlin (in north of Mexico, for an American capital), the Summer Palace (somewhere in the coast of China, for a capital near our oldest, and probably best developed cities), the Tower of Pisa (to rush a prophet and engineers).
This is my plan. What do you think?