For me it is - emperor and lower - go for it unless some extremely specific situation occurs (like starting next to GBR and going for settler will make more sense).
Deity - don't even try.
The trick is with Immortal. Here you have a shot on it, but it might not work and then you will fall behind by a lot. You go for Pottery - Writing - Mining - Calendar. While researching steal a worker or 2. Chop down all forests around the capitol while building GL, get Philosophy as a free tech, go fot NC or the Oracle next (2 GS point right away, only 40 +/- turns to first GS and academy). So the bonus is relatively large. Additionally there is the hidden bonus of slowing down other AI's.
After getting Writing exchange Embassies with all known nations and look whether they are already building the GL in their capitols or not. If they already started it (on Immortal) it's not worth it in like 95% of the time. Although I had a game where one AI was building it, stopped due to an early war and did not complete it until turn 70ish (standard pace). But that's more of exception than a rule.