I just can't bring myself to do it. Concentrating my efforts towards a SINGLE goal in a game of civ. It's just not in my nature. My GOTM scores (always in the middle) reflect this.
My orientation is this: I can't stand losing IN ANY CATEGORY to the AI. I strive to be number one in EVERYTHING (Culture, population, tech, military, land area, cash, wonders, score, etc). There are (obviously) inherent "problems" with this, most notably the score as compared to others. Does it bother me? No. I get great satisfaction knowing that I am number 1 in every single aspect of the game - I have beat the AI at it's own game. For instance, it is EXTREMELY rare that the AI will EVER take one of my cities, even for one turn. It just doesn't happen.
So I don't do the "milking" and I don't do the quick domination/conquest. My play style doesn't lend itself to any sort of "quick" or early victory condition.
Unfortunately, my games almost always end with Space or Diplo victories
It gets a bit boring, but I just can't seem to bring myself to change my playstyle. If only the game or even GOTM had some sort of other victory condition. Like maybe: If you lead in EVERY category (land area, population, culture, maybe some others) at a certain date (maybe like 1900AD or something), you could be presented with a choice: continue playing or accept "best well-rounded civ" victory condition.
Alas, I know that is wishful thinking, and so I must continue to play as it suits me, and that's fine, as like I mentioned, I enjoy the battle to become the World Leader in all aspects of the game.