Most Wonders have a general effect. The only ones that matter WHERE you build them are Hanging Gardens, Colossus, Copernicus and Newtons, Shakespeare and KingRich. Often you can let the AI do the work of building it, then take it away when you want it (like Pyramids, if you are into them). The only one I try to discourage building is Manhattan Project (if I let the AI get that far...). Just remember not to reduce the city with a wonder to size 1 - it will disappear when you take it, and the wonder will be "lost".