It wasn't me who built the Wonders. I replayed this without going to war, and with better luck since I popped Mysticism, a scout and tons of gold from huts, and so I built Stonehenge. It definitely helped, but not enough. I got around 8%.
The idea is, capturing a city is much less costly if done well than building it yourself. You can save improvements, capture workers, etc. So the thing on which I'll concentrate next time is managing my wars better.
And yeah, all the jungle didn't really help the Immortal attack.

In the peaceful game I settled up to the Korean borders and got another city down south. My first three were positioned almost as yours in both games. Thanks to Stonehenge everything expanded much faster.
About "building" research: there has been a modification in Warlords from vanilla cIV. I'm surprised I haven't seen it mentioned here, but I only frequent the Strategy & Tips forum, so... Ok, about the modification:
1) In vanilla cIV it says: converts 50% production into research. False: with patch 1.61 ALL BASE production is converted into research. Forges, Factories, Power, Resources used by Ironworks have no effect though.
2) In Warlords: converts 100% production into research. True: EVERYTHING, including Forges, Factories, Power and Ironworks-given Coal and Iron bonuses are taken into account.
In conclusion: early it's useful to convert research into beakers in both vanilla cIV and Warlords, but in Warlords this is true even after building a forge for example.