Keep in mind that, just because you've finished Stonehenge and generated a Great Prophet, doesn't mean you have to immediately use the Great Prophet to found your religion. If you are isolated on a continent where your only neighbor is Kongo, then, yeah, go ahead and found. But anywhere else, you might consider putting the Great Prophet to sleep while you scurry around building holy sites, shrines and, most important, temples, and banking away at least a couple of apostles' worth of faith, before you found.
If you found early, before you have access to any defensive tools, and then your holy city gets converted out from underneath you, you've wasted a lot of effort. Get those holy sites up, get at least one shrine and temple up, and build up the faith bank -- then found your religion (which will automatically spreed to each city where you have a Holy Site). Then immediately buy an apostle, burn him to start an inquisition, and then buy a couple of inquisitors to camp out near your holy sites. If the AI tries to swarm you with missionaries and apostles, your inquisitors should protect you (they will benefit from automatic holy site healing after religious combat). Then, when you've built up more faith, buy two more apostles to evangelize your remaining beliefs, and more missionaries and apostles to spread your religion. But always make sure you can defend the religion you founded, before worrying about spreading it to nearby cities.
