I like to take out strategic resources. For instance, if the only rubber source the enemy has is near their capital, and I can be sure they aren't obtaining it anywhere else, and I don't yet have flight, I'll send in a force of a few infantry and a couple of cavs. Maybe an artillery or two as well if I can spare them. Especially if the infantry can keep to high ground, the AI is unlikely to attack them. With each step forward, the infantry protect the stack while the cavalry slip out, pillage and slip back in. I was waging war against England in my latest game, and I wiped the land clean around London, shrank the city down from 12 to 6, disconnected their rubber and dyes and finally parked the stack on a nearby mountain so I could keep adding cavalry to it until the time came to conquer London.