I started a game on immortal difficulty as a random civ and rolled Spain. Looking at Spain's/Philip's bonuses and the Conquistador UU, I thought I should probably go for a domination victory influenced by religion. Philip gets +4 combat strength when fighting against other religions, and Conquistadors get +10 when paired with a religious unit. My understanding from Google (though I don't know for sure) is that the +4 bonus only works if you actually found your own religion. So I decided I would do that. I successfully founded a religion by building a holy district and pumping holy projects. But it really slowed me down. My archer rush was not at all what it should have been. I'm doing "ok" now--I'm a little behind at turn 100 or so--but will probably eek out a win eventually. But if this were deity I would have been crushed. How have others played as Spain? Is it possible to found a religion and still be a potent warlord early? That didnt work so well for me.