The other thing to remember is the queue feature for setting the build instructions for a city (as opposed to letting the city governors run everything). When I'm up to about 10 cities and still building new ones, I'll usually set a new city to build a defensive unit (assuming I already provided it with at least one); followed by Temple, Library, Granary, Harbor (in whatever sequence seems most appropriate for the geographical location). My aim being to get that city to grow at least to 6 before I have to go back and replan it. I've even sometimes put something like 'Palace' in the queue as a kind of 'run out of plan' indicator. I would never want it to build the Palace of course, but at least I won't be wasting shields building (and perhaps completing) the wrong thing. Its easy enought to spot the palaces in the F1 list and take over the management again.
I agree about the large cities though - its usually best to manage them yourself. When you're building a Wonder you really want to wring out every shield you can. I also hate seeing the governors continue to build for growth when I've already hit the 12 limit (e.g. waiting on Sanitation) - you need to get in there and start switching to Scientists/Tax Collectors depending on what the strength of that city is - i.e. if you've already got a University - make Scientists so they're more effective).
Having said all that, I know I waste a lot of resources in many of my cities, purely because I don't micro manage them - but that's a compromise really.