At which point do you know when you should raise the difficulty on yourself?

Unless you're playing on Diety already then you can't go higher, lol

imo, you have to play a few games at the higher level and see how you do.

The gap between Immortal and Deity just got bigger, by the way. I think it's likely that under some setups (civ choice, map size, speed, enabled victory conditions) you'll be winning Immortal consistently but completely unable to compete at Deity.

I suspect the same is true for the step from Emperor to Immortal, not sure yet.
 
Probably it becomes less appealing half way through the game, and you know you have your victory bagged. There are so many different map types, map sizes, and so much you can adjust in advaced options!
Personally I like to play as all the different civs, it helps you to understand what makes them tick, this can be a huge advantage when you are faced with key decisions. The more you know about them the easier it is to move on up.
I have found that some of the habits you get into might need tweeking here and there through the difficulty levels, and for me it didn't work to jump to many levels in one go!
You are wrong about Deity, because you can then handicap yourself!
 
When you can get very, very drunk and still win, it's time to try the next level up.

I can only win drunk on Emperor. Having said that (and to render my advice completely useless) even when sober I still can't beat Immortal, although I'm yet to try Immortal with the 332 patch.
 
imo, you have to play a few games at the higher level and see how you do.

The gap between Immortal and Deity just got bigger, by the way. I think it's likely that under some setups (civ choice, map size, speed, enabled victory conditions) you'll be winning Immortal consistently but completely unable to compete at Deity.

I suspect the same is true for the step from Emperor to Immortal, not sure yet.

I've just been playing standard/continents for my first few immortal games post-patch. I'm winning, but it's quite a bit harder. And it's annoying getting beaten to HS, PT, ND, FP and eiffel tower all in the same game... I've had to make several adjustments, but I'm definitely doing better on science now than in the previous couple of games. Mid/late game on immortal is actually a challenge now instead of a slam dunk, though I've been spending more time "figuring things out" and less time "rifle beelining". Now that I have a much better handle on science and happiness post-patch I think I'll go back to playing large maps again, I might even try out some of the new map types. For now, immortal is sufficiently fun/challenging/entertaining that I'll probably keep here for a while with only periodic forays back to deity. I'd say that overall immortal is about 1/2 way between the old immortal and deity levels, maybe like thal's (or alpaca's) immortal + custom level.
 
As long as the AI gives me enough of a challange so that I can't play sloppy and still win, I'm good. I mostly play at King, and I win a lot, but sometimes I still don't. Usually because I've done something stupid like not keep my military large or up to date. At the higher levels the game changes and becomes less a fun game and more a tedious process to outlast your AI enemys. I've won on all levels just for the accomplishments, but at the diety level I specifically selected a civ with a map I knew I can win with.

I play the game for fun, not necessarly for the challange.
 
I play the game for fun, and that for me means wonder whoring.

Therefore I tend to always play on prince so I can build all the wonders. I can easily manage higher difficulties without wonder spamming (I used to be able to beat Civ IV on Immortal difficulty), but I dont enjoy how insane it is, and how I can barely manage to build a single wonder on the highest difficulties.
 
I'm gonna say, raise it until it stops being fun, then go back a notch. If that level eventually starts to get so easy that it's less fun, go up a step again. If not, just stay there and enjoy your game.
 
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