Just note that you cannot generate a mil great leader, if you have any type of leader.
This. This is the important difference between Civ3 and the great people in Civ4, 5, and 6. One wants to use a leader, either MGL or SGL relatively quickly, because elite victories can't produce a new MGL while your current leader is sitting on the porch, sipping a drink.
When I am fortunate enough to get an SGL in the Middle Ages, I check to see if there are any wonders that were on my 2nd tier list that I could rush with the SGL. Be careful of the wonder cascade, though; I once lost Copes -- despite having a good prebuild -- because I opportunistically rushed Leonardo's Workshop with a leader, and the various AI switched their builds and finished it before I could.
If I'm not at war, and don't plan to be warring for 10 turns or more, I might consider saving an SGL for later. Often my super-science city, where I intend to build both Copes and Newtons, will not have the highest shields-per-turn. So saving the SGL to rush Newtons might make sense if I'm at peace.
In the Industrial Age, I usually have a good prebuild for ToE. Getting an SGL would be most often used for rushing Hoover Dam.