Building the Pyramids shouldn't usually be a high priority, actually. At 400 shields, the investment is very large for the Ancient Age, and at Emperor and up, you may not get there first, anyway. The AI loves to build them. Generally, I only build the Pyramids if I get a SGL.
Capturing the Pyramids, on the other hand, is always a priority. In combination with the Agricultural trait, owning the Pyramids can seal the win early. Yes, it may force you to micromanage in the late game, but it is worth it for the early burst, IMO.