One thing you must understand is that conquering one civ or two isn't only for Domination victory. You may need the extra cities as a buffer against really naughty people, or just need the extra production so you can defend yourself or punish (raid war) a snowballing civ. While you can win without conquering anyone, this usually helps a lot.
With religion it happens the same. You can win without it, but you'll be safer with founder beliefs. Now there are two ways to get the founder beliefs: be one of the dedicated civs and found yourself, or be one of the oportunistics and usurp a religion. A thing that has worked for me is to forget about religion for the first part, raise a good army and conquer my closest religious neighbour (the one that is trying to convert all my cities). The first faith points you only want them for spreading the religion, so let others do the work while you prepare your swords. After that, you can rest peaceful with your extra cities for the rest of the game or keep the swords sharpened, your choice.