I always roleplay in a sense. That sense is that I don't play to "win" in the most effecient possible manner - instead I try to build the type of civilization I want to build. Usually this means OCP, no whipping, minimal wars, no tech whoring or RoP-rape or ping-pong, etc. Now, I can't win on the highest difficulty levels this way - but that doesn't bother me.
IMO the most important point about this sort of thing is that Civ is a GAME. The only thing that's important is that you have fun. So, everyone should just play however is most fun for them.