general thoughts :
- you should try different leaders to get a better feeling of what does what
- you should try different victory conditions, you'll get more familiar with what's important and what's not
A little more specific thoughts:
- it's already been said, but you can not have too many cities. If you can afford more, settle/take them. It's all a question of upkeep, but in the end almost any city could pay for itself (even those pesky fishing villages can be useful)
- it's already been said, but you don't need every building in every city. It's easy to have 8 commerce cities when you have 20+ cities

- play a bit with the civics, you'll see some very interesting effects (of watermills and workshops under state property, for instance :
here is my favourite picture, I show it every time someone says "space race" or "production city")
You can see 7 watermills in this picture, feeding mines and plains workshops (and even 2 engineers, but that's because there is one too many farm)...
If you count the base hammers, you find 65. Can you still not see how watermills can be good

?