I think you're trying to do too much at once: building four early wonders, expanding, and attacking your neighbor. The end result is you're not doing well at any of these goals.
War: You have 6 cities, but no praetorians, and only one city building a praetorian. This city, your capital, does not have a granary or forge, so it is not especially good at building soldiers. You have one other city building a barracks, but it produces even fewer hammers than your capital, so it won't produce much either.
What do you hope to get from a war with Montezuma? His cities are fairly distant and don't have any sources of commerce, so they'll be a drain on your economy, which isn't very strong. Maybe a limited war just to get the stone and generate a great general would be a good idea, but I don't think you're prepared to conquer many cities.
Wonders: Why would you want to build the colossus? You have plenty of land tiles for your cities to work. I think your hammers could be better spent elsewhere, like praetorians if you're serious about war. You're no where near literature for the great library, but you should also ask yourself if there are higher priorities than that.
Expansion: You say there is good terrain to the west, but it's completely unexplored. Get some archers or chariots out there to explore. Oh wait, you can't build chariots because you haven't hooked up the horses that are right next to Antium. The marble and cows next to Rome need roads too. You need more workers really really badly. The best city site I see is the spot to the southwest that has three gems and a clam, which needs lots of jungle cleared. Antium is also unhealthy at size 1 because of jungles, but that could be helped by hooking health resources to your network and hooking up Antium.
My advice: More workers, less settlers for now. You need to improve the cities you have more than you need new cities right now. Build granaries in new cities instead of archers so they can grow faster and whip. Use your developed cities to build units that can move. Rome is a very strong city that can pump out workers and praetorians, though it needs to whip sometimes because of all the food it has. Specialize your other cities too.
Explore the land to the west and try to peek into Montezuma's territory. That will tell you if you should expand, or fight. If the free land is good, then expand and research currency and code of laws to keep your economy strong. If Montezuma's land is better than the unsettled land, research math and construction so you can chop praetorians and catapults and attack. Or you could do a limited war where you capture the stone, research literature, use your great general as a warlord so you can build the heroic epic, and build the other literature wonders, get tech for peace, and attack again later. Pick one strategy and focus on it.
