I'm learning that now, too. I tend to want to make my capital do EVERYTHING... since it starts out able to do everything. I still end up with my capital using the Heroic Epic, Military Academy, Red Cross, covered in cottages, with "Focus on Great Person's" turned on; if I'm not careful.
My main problem, though, is I have trouble managing economy/expansion. If I don't start getting Great Prophets and/or founding religions early on (I like playing on "huge" maps) I am doomed to a tiny civilization. I can never make enough money to support a decent army, and even Ghandi will declare war on me for it. I think I end up with a ratio of 1.5:1 (Units:Cities) or maybe 2:1. Even then, I am still in the red, since at 100% research, one or two civs get a massive technological lead on me. I mean, Muskets vs Marines/Tanks.
It makes me happy, sometimes, to see that a wonder I'm building got beaten by some other Civ, since it gives me a boost to my coffers allowing me to not have to worry about dropping to 90% research for another ~30 turns. Not that it helps. I get frustrated when it happens and I only had 1 turn left to go. Which happens a lot.
Try this: in your next game make either your second or third city build only a monument, granary, court, forge and barracks. after that build nothing but units. Improve the landscape around that city only in ways that will increase your production: farms for food, then mines, mills, and workshops. Practice makes perfect.