My best advice is to go to war for resources, not land. The only non-resource areas you should conquer are those that connect the conquered lands to your own. Once you have reaped the benefits (i.e. happiness, wealth, trade, strategic resources) of owning the world's resources and denied them to your opponents, then you can go for a world conquest. Be an aggressive trader: it means more money for you, less for them, and foreign rivals will be dependant on you and stay out of your way. You can not win on might alone: money is the most important thing needed to take over the world. If there is only one civ left, violate a right of passage. I once took 30 Korean cities in one turn because I had a right of passage and simply lined huge stacks in front of every Korean city and attacked them.
It was perhaps the easiest conquest victory I ever got. Lastly, if you cannot completely overrun an enemy, ruin his land to soften him up for your next war.