Hey pholk, I actually played through the game myself (on Monarch, the AI sucks but I gifted them cartography via WB), here are a few thoughts on the start of the game.
1. Play on Normal speed. Tech rate is so slow it feels like BtS Epic.
2. Start by building 4-5 warriors in the capital.
3. Get out of Despotism ASAP during/after your second city. The early-game choices are Mysticism for God King (bureaucracy) or Cartography for City-States (less city distance maintenance).
4. Warriors will be fine for a while. After worker techs, you can try for a religion (those require worker techs anyway so no big deal waiting until after worker techs) or beeline a unit with at least 5 attack (ironically, you get one when you research the second tech after the religious tech).
5. Once you have a sizable force (about 3 of said military unit), you can explore dungeons.