My normal strategy depends on the Great Library. Therefore, I've gotten pretty good at building it.
Industrious civs start with masonry, allowing you to "store" shields by starting on the Pyramids long before you have literature, and switching later on.
Being Industrious isn't essential, however. Usually by the time I'm ready to start Wonder building (normally after my capitol has built the intial exploring warriors, 3 settlers, and a temple), the AI is willing to sell me masonry for a reasonable amount of gold. I good tip on when to start pre-building the G.Library is when you start seeing the popup messages "The so-and-so's have begun building the Pyramids."
I play Normal Maps/Continents/8 civs/Monarch.