I usually settle them or attach them to a single unit. Very often, I attach one to a Caravel to give it big movement bonuses to ensure that I will win the circumnavigation race. Send that Caravel home ASAP after getting the additional +1 movement bonus and you can keep another advantage--a very strong navy and gives you a lvl6 unit for the Epic. Other than that, use them to build War Academies and settle them for the additional +2XP a unit. I've had some cities popping out 17+ XP units--they're a force to be reckoned with, especially when you get fast Blitz promotions.