So, in my experience, Seven Wonders is easily the most difficult legacy path to complete in any age. Others here have explained why (mostly that there are too few wonders to complete it with any sort of competition, even on a 6-player map at Sovereign difficulty, and because the AI does go after wonders quite a bit.) It's possible, but you need all the help you can get (which is part of why I like Hatshepsut and Egypt a lot more than others seem to - that combo can pull this off, at least some of the time.)
As for myself, I usually go Chiefdom -> Mysticism -> Discipline -> Code of Laws -> UNIQUE CIVIC -> Discipline II -> Back to Unique Civics Tree. This is because my general start build order has a couple of scouts, a warrior or slinger, a brickyard or saw pit, then I've reached pop 5 in my capital and can pop out two settlers, then depending on where I am in the tech tree I can either get started on my first library or else pop out an altar while I wait for Writing to complete. Once my library is done, I immediately go for Great Stele, which I can get most of the time, and then from there into Gate of All Nations. If my production is out-speeding my culture, I'll prioritize Discipline II to make sure Gate of All Nations is ready to start as soon as Great Stele is done. Because the AI doesn't seem to prioritize masteries so much, GoaN is almost always securable (and it's one of the best ones to get in any case.)
After that, it largely depends on terrain and what your strategy is. Terracotta Army is usually attainable, as are Emile Bell, Colosseum, and Oracle. Mausoleum of Theodoric always goes real quick in my experience, and Colossus is tricky, at least on the maps I usually play. Nalanda can be tricky placement-wise and the AI loves it, so I rarely manage that one. Mundo Perdido is great if you can get it (which is possible if you've got the terrain for it, since it comes off Mysticism II - another early mastery.)
But the Unique Civics are very, very important, as they're where most of your civ's bonuses actually live. Maya, for instance, is almost universally considered the best Antiquity civ if not the best in any age, but without their civics tree, they're just their two UUs and 1-3 extra science per turn. Complete the unique civics tree for sure.