The use of a GL I get totally depends on the circumstances. If I'm playing a non-militaristic civ and have relatively few elite units, I will probably save him to either rush the FP, or move the Palace after building the FP close to the original capitol.
If I'm playing a militaristic civ, or I happen to have enough elites as a non-militaristic civ that I feel the investment makes sense, I'll make an army and build the HE.
The HE simply increases the odds that an elite unit victory will produce a GL. Therefore, it is only benificial if you: 1) have elites; and 2) are using them. Militaristic civs generate a lot of elite units when fighting, and thus I typically have no shortage. Non-militaristic civs, however, are much less adept at getting battlefield promotions. I've often gotten a leader and looked around to find that I have a total of 1 or 2 elite units. Building an army and the HE isn't a real good investment in such a situation, IMO. It also depends on timing. If I'm just starting a huge rampage, I will be more inclined to go Army, trusting that my hordes will generate another leader before the campaign winds down. If I'm nearing a period of peace, on the other hand, I will be most likely to opt for the FP or Palace move, or if I'd dealt with that, a key wonder (only if I'm concerned I'll lose it otherwise).
If I have my Palace and FP set up properly and I'm winning the wonder races I care about, then I will definitely make an army.
-Arrian