You choose your one city site with care, looking for high-trade specials, grass and rivers if possible, and access to the ocean or a nearby AI civ for trade routes. You stay small and peaceful at first, building key wonders (Colossus, Copernicus, Shakespeare, and Newtons, with Hanging Gardens, Marco Polo, and King Rich if appropriate) and improvements to increase your research rate. Once Shakes goes in you set high Lux rates and swell your city into the 20s or 30s and focus everything on research. Alliances and KeyCiv tech gifting keep research costs down, and occasional caravan/freight deliveries get you to a tech every turn or two.
Usually you are playing to win by spaceship. It is much harder to accomplish in MGE than Classic, due to AI hostility, but it still can be done. I've only won a couple times via conquest, which has to be done as quickly as possible before the AI gets too powerful. In that kind of game you get PolyTheism, MapMaking and Sanitation quickly, then shut down research and build an army of around 2 dozen units to take the AI civs out one by one. Large maps are a problem for OCC Conquest, as is Restarts On. You cannot blanket the world with cities or units (but you can buy AI&Barb units to become NONEs, in addition to Hut mercenaries).
Nothing teaches you about the "other" (non-conquest) side of Civ like OCC...