Early wonders are waaaaaaaaaaaaaaaaaaaaay overrated (except maybe Pyramids). Pick them up if you get the chance, but keep the focus on research & beating up your enemies before they get too far ahead of you in tech.
Also, if you want domination, maybe try a game with the Incans? They have domination-friendly traits (Fin/Agg), and Queches really shine on Monarch and up. Kidnap your first (and second if you don't mind making another enemy right at the get-go) worker instead of building it to save lots of turns, and a stack of four queches can usually rush an early monarch capital to get you a 2nd city in a guaranteed good spot & take out an opposing civ & give you room to expand.
Barbs kicked my arse hard for a long time on Monarch too - get copper & axes ASAP. If you don't start near copper research archery AFTER pottery (if you're incans) or archery before pottery if you're not (the quechas can handle all the barb archers that show up initially and barb axes don't come for quite a while).
After you get some axes, a few more cities & some cottages up and your economy is moving along in somewhat decent shape start working on the next civ. Even just pillaging is crippling if you don't have the units to actually take cities (cats).