I guess it can help speed things up a little, but if you are going for a full domination game, there is no way you'll be able to sustain roads to all corners of all the continents on the map and have any gold left over for the war effort. My preference is to not build roads outside my core 3/4 native cities, in an effort to keep my GPT up. I've found that during a war, having gold around to buy and upgrade troops, or even rush build the occasional happiness building, is far more valuable than arguably faster troop movement.
I'd wager that building roads up to all your oponents is actually going to slow your campaign down compared to just getting the invasion started way earlier. It takes a lot more turns to build a long road, than to simply walk slow troops over a mountain range, so you're trading what, like dozens of turns of road building, for a 1 or 2 turn reduction in the actual length of the military campaign? I donno, I don't think it's a fair tradeoff. Nevermind the fact it costs you massive GPT to pay the maintenance for hundreds of road tiles all over the place. In fact, I go so far as to have my workers go and *remove roads* from around all the puppet cities while I'm also converting their farms to trading posts.
I suppose on small map sizes, you can probably get away with building roads everywhere but.. I really couldn't imagine.. even on a standard sized pangaea map... paying the maintenace for roads across the whole thing. Nevermind large, huge, etc. Well that's my theory and I'm stickin to it!