I too am a compulsive builder... I find it helps to think like this though: 'which gives more benefits in the end: a wonder or a new city?' The answer is very often 'a new city', as it's a new place to build things, you get luxuries to trade, more science and gold and at times defense. Ofc the policy costs are a thing to consider, but a city still beats out a wonder almost any time, especially when you consider the very real possibility of losing in a wonder race to an AI civ. If you lose the city founding race, you can simply capture the AI city, while with wonders you get a paltry amount of gold that in no way compensates for losing all those turns of valueable production. I find that on Immortal most wonders are not worth the gamble, as for all you know Egypt with marble might exist in the game (unless you choose the opponents ofc).