If you manage to capture an enemy Great Prophet and you either have, or can quickly get a Great Prophet of your own, you can do a funny thing if you have a lot of accumulated faith. Let's assume your enemy's religion has those nice religious buildings that boost faith, culture, happiness - and yours does not.
So, you move both the prophets next to your own city. First you 'spread religion' with that enemy prophet. That should instantly convert your city to the enemy's religion. Second, buy all the possible faith buildings associated with that 'infidel' faith. Third, convert your city back to the one true religion using the 'spread religion' with your own prophet - all in one turn.
If you have enough accumulated faith when you do this, you can repeat the same procedure on four cities and not suffer ANY pressure from that 'wrong' religion. At times of war, or especially right before war, you may even be able to capture two enemy Prophets at a time, enabling you to eventually faith buy those buildings to 8 cities... If you don't yet have enough faith pool, you can always build some and let those prophets rest until then.
Of course this is also very nice if the enemy religion has Jesuit Education!
A second thing I just realized, if you have captured an enemy Prophet and your other enemy has a nasty defensive religion that hampers your conquering efforts. Better take that other enemy's prophet with you when you go to take their cities. As soon as your infantry is next to the city, fortify them and move that prophet right there. Spread religion, and bang, no more defensive bonuses on that city
