I one of these people that just wont settle for anything other than christian religion, however theres several problems with trying to maintain a civilization that adheres to only this religion...
but heres the method to achieving it:
1) from the outset aim to get thelogy as quick as possible, by doing so you will be the first to research christianty and also activate a civic that locks all other religions from spreading to your civilization.
2) at certain points you have to wait for another civ to get other techs that would found a unwanted religion first to prevent you from founding it...
3) The main problem is trying to do that fast enough to avoid some other civs religion spreading to your civilization first.
the benefits if you can pull this off is that no other religion can spread into your civilization unless you take control of another civs city via culture or battle. which is why i always raise the citys. by preventing the spread of other religions they dont have the benefit of spying on your citys via religion status.
PS: Not having foreign religions spreading is meant to be a penalty, not a bonus. The benefit of Theocracy is the extra XP points that you get for units, with a Barracks you can start your units out as level 2. Plus if you use the Free Religion civic, you get the happiness bonus for all religions that are present in a city, not just the one you're running as your state religion. So you're limiting the advantages of that civic with your approach. Not to mention severely limiting your options by always going down the same tech path. You want to stay flexible in this game, sticking with one set strategy each time is going to cost you some games.
of course you can do this, with any other religion, however you cant lock the spread until thelogy..
but if you do manage to lock them all out you can spread your religion via priests, and spy on them, without releasing your religion to the ai, etc... however a drawback to this is you cant alter the religion civics at any point from theolgy.
if somone does manage to spread a porporation of their religon by locking into your choosen state religion you will prevent any further spread of the enemy, but they will maintain the spying ability of any already achieved