depends on the game; if you go domi all the time, as I do, an uber capitol won't help too much. The ai is bound to poison and whack your main cities sooner or later.
regarding settling; marathon speed. An infiltration provides 10k ep(roughly). If you settle him, until constitution and 1st multiplier(jail) - for instance, he'll make 12 eps/turn. I'm researching constitution in 15 turns now, and it's turn 567. So, till now he'd produce me 12*567 - 6.8k eps till now.
I always infiltrate them; I think twice if somehow I catch the pyramids, but otherwise... my gs brought me divine right(was a very wierd game - I ended up building both the ap and UoS so kinda wanted a shot at both minaret and versailles since I had half of the big contient to backfill)/engineering/guilds so far and will bring me replaceable parts when that bummer will finish up with his research(again, wierd game, since I ended up going grenadiers since my beloved neighbour decided to go rifles)... Plus, I'll still have a decent ammout of eps to provide city revolts when I declare.
Ok, in a very favourable situation: open borders, same religion, his city close to my border, so stealing engineering with 50% stationary bonus was only some 1.3k. But anyway, even if further neighbour, I still infiltrate. The tech advantage is immediate and allows me to capitalize on it with my army while I go for the military techs and don't fall behind on the others since my infiltrated targets provides them.
the ga - golden age and that's that. Worst case scenario(read, I already had 2 golden ages, and 3 gps for a golden age I avoid), I settle in ws city. But then it means I got 3 gas, which makes me bother more about cursing the rng then wondering what to do with him

the gp - always settled. Either in he city(which is different in most of my games from iw city - I tend to go iw in 1, he/wp in the other), or, again in the 1 in 100 games where I manage to convince ppl. confucianism is nice(rarely getting it on immortal to start with, even rarer to actually have a realistic shot at convincing anyone about it's values) in the shrine/future ws city.
ge - keep it, pet it, mining inc. Lotsa land allows for lotsa resources.
gs - philo, part of edu.(paper by hand, part of edu, since it's better beakers wise), 2-3 academies or 1 academy/settle(but that after philo and crap) if for some obnoxious reason(read - I seem to finish very fast) I don't plan transition to ce.
gm - funds the upgrade of cr2 maces to rifles/seldom to grenadiers.
All the above, obviously, if not going a la obsolete, where, obviously, you settle everyone and their mothers. But since I'm not a big fan of that approach...