Actually, both the Legion and Ballista are great compared to their normal counterparts. The problem is that the game currently favors horsemen in the extreme so the Roman units can't really shine. I can tell from first-hand experience that defending against an army that features three or four legions is pretty hard so if/when horsemen become more balanced, you should see an increase in "Rome is really strong" posts.
I didn't try the Romans out yet but my strategy would be to wage a few early wars with either Horsemen or Legion, then settle the land this frees as closely as possible with fairly small cities. These cities will allow you to make good use of your ability if you purchase in Rome all buildings you want to produce somewhere in your empire. I would favor production over gold for Rome. Make an exception to the "as close as possible" rule for Rome, which should have at least the full two inner hexes.
So the research priorities would be Iron Working, then anything you need to hook up your luxuries, then probably Construction to get these Colosseums up and running. Afterwards, you should be able to figure something out. Forbidden Palace is great if you have a lot of small cities.
Policy-wise Liberty should be great. I would also try to go for Order, which is very useful for this type of strategy (-50% unhappiness from number of cities and +5 production in each city).
Obviously, that's not the only possible strategy but I like trying to make the best use of my civ's abilities