I usually build a settler right away and scout for a nice site for the new city.
After that I build a warrior and so forth.
I am not the best CivIV player, is this a good or bad strategy?
You generally want two things to happen in the beginning:
1. Have your city grow so it will become more productive.
2. Get your tiles improved to get the most out of the few citizens you have in the beginning.
If you start with building a settler at turn one, neither of the two will happen: your city doesn't grow and you can't improve the tiles because you don't have a worker yet.
Now you can't have both at the same time either, because building a worker also halts city growth, but workers don't take as long to build as settlers do, and often you also need a few turns to research a technology for building an improvement (e.g. Animal Husbandry if you start with pigs or cows).
Putting the above together, you should build a worker before the settler and at the same time research whatever the worker needs to know in order to do something useful around your city. Very often this will be a "support tech" such as Agriculture, followed by Mining and/or Bronze Working. The latter is very important because it allows you to
chop forests, speeding up the build of the settler.
In short: worker first, then improve tiles while you're building warriors and research Bronze Working, then chop out a settler.
You will end up with (a) getting the most out of your initial tiles, (b) a larger city, (c) a worker who can improve your second city as well, (d) some military and (e) a settler.
If you pay close attention you'll even realize that your first settler won't be out THAT much later at all compared to building it right from the start, because the tiles that your worker has improved for you will greatly speed up settler production (as does the chopping).
Also keep in mind that you will need to garrison your new city anyway, and delaying the settler for a few turns as described above gave you the time needed to build that garrison.
The very early game turns are crucial because what happens then has a very big impact on your further empire development. 1 turn in 3500 BC generally is much more important than 1 turn in 1750 AD.
On the lower difficulty levels you have a lot of leeway so it's often not apparent but as soon as you start to increase the difficulty you will feel it (mainly because the AI players get a lot of starting units that you don't so you have to catch up fast).