I used to not, but now? Yes, if there are sweet sites nearby and my capital grows well initially, I sometimes go all out and forget about wonders or anything else after my first scout, worker, and shrine/monument. I had a game this last time where I had a pantheon for wines and there were 9 on my island. I built 3 settlers in rapid succession to get them all as it secured me a religion with monastery and all those wine sources for culture/faith. I did very, very well that game, and focused my capital on straight growth afterward to catch up. Usually this is an awful idea, but in my case it made for some killer cities later with monastery enhancements and really only wasted 13 turns or so. I was rolling in the early policies and got a very nice religion.