I used to march those settlers home because of corruption. But now I try to stake out a luxury or resource. Most of the time I claim the resource just to deny the AI from getting it.
Rush a harbor if it's on a coast, or have it build a worker that will build a road to either back home, or to a nearby civ. After the worker, if the city wasn't built directly on an iron, you can easily build some cheap warriors for military police and some basic defense (the AI loves to attack totally undefended cities). The warriors can later be upgraded to swordsmen. If you are connected via harbor to that civ and you are at peace with that civ, then that city is connected to your trade route. Rush some improvements to prevent culture flips if it is near an AI capital. Even if you lose that city later on, if it was a luxury, the rest of your civ gained alot of benefit from it while you had it.