Building aren't going to make your cities productive -- focus on how the city is using its tiles and specialists. Never work unimproved tiles, whip them away or run specialists instead. Always try to settle your cities with at least one food resource tile that can be worked. Choose a city's improvements based on what it needs and what you want out of that city (production, commerce, great people) -- for example, windmills can make more sense than mines in a city that lacks food. Aim for at least six cities by 1 AD, and if you can't get that many peacefully, plan to go to war.
Edit: More generally. Getting better at Civ is all about economy. I don't mean cottages and specialists, I mean the allocation of scarce resources which have alternative uses. Everything in Civ is a resource -- hammers and money primarily, but also worker turns, units, espionage, anything the player has control over. All resources can be used in multiple ways, so every decision is a decision of tradeoffs -- you're getting something and sacrificing something else. For example: Stonehenge costs 120 hammers -- the same as two workers. Which is really more valuable to you? You could dedicate those two workers to chopping monuments and you'll basically get the benefit of Stonehenge and have two more workers when they're done chopping. It's not exactly as simple as that, because chopping also requires bronze working, costs forests and takes longer (and you don't get the culture and GPP from Stonehenge), so I'm not saying never build Stonehenge, but consider your alternatives and what will really benefit you the most. The Pyramids costs the same as five settlers. Is the ability to switch government civics worth more to your civilization than five more cities? Maybe it is, but be aware of and weigh the cost.
I'm sure it sounds like I'm down on wonders, but I'm just using them as examples because they have high costs. There's nothing wrong with them, their costs are probably balanced to make most of them useful, but they'll only be the most efficient use of your hammers in certain circumstances.