I was playing a game yesterday where I sent a Prophet over to convert a nearby CS. The Civ the CS was allied with declared war on me and the CS then stole my prophet.
I was somewhat miffed, but then that Civ was nowhere near me and so I sent troops over to the CS and, since it had put its worker in the city, the prophet it stole was being protected by one of it's units, so I killed it and took my prophet back. Then, when peace was declared, I went and converted the city.
So, while it didn't work out for the guy in the end, it did show a potential strategy and I suppose that you can just declare war, steal the prophet and then go and build a Holy Site or something.
Edit: Oh wait, alpaca just said that.