Yeah that's exactly the problem with them. Presently it is too ineffectual to rush towards masonry straight off and build them. The question is does having 2 workers instead of 1 change that? There's a few scenarios I'm thinking about:
1) If you build no workers at all but just push towards the pyramids you can maybe build them by turn 50 or so. I don't have CiV in front of me ATM but I think it'll be about 25+ to research it and another 25 or so to build it. That seems to long to wait for your first worker so I think that's kind of a dud option.
2) Build 1 worker and then aim towards pyramids. With the worker and chopping and such you can probably shave 10 turns or so off the cost. This will leave you with 3 upgraded workers. If you are planning on a REX this might be a good option depending on your available resources and tech path and such. But did this approach actually save you a lot over just building / buying a worker when you needed it? I feel like I shouldn't go out of my way to get the pyramids... but at the same time if I'm heading that way anyways or have extra bonuses to building them this might be a valid option.
I agree with Martin though. An extra +GE point would've been a better option. Or maybe even a +3
in the building city permanently or something.