While it is easier to reach certain wonders, you still pay a hefty opportunity cost to do so. I think the worst problem is that many wonders are placed in dead-end techs that offer little else, some of which don't even give any affinity points. There is little reason to ever get, lets say, the Mass Driver, the New Terran Myth or the Archimedes Lever - they just delay your victory and could have uses the turns of research to get an affinity tech instead.
As for the "what else to build" question: Agricultural development is really, really powerful.