Think we´ve had this poll before,but I´m in need for posts to get promoted,so....
I usually use my first leader to create an army,I´d only use my first leader for hurrying if there is this certain wonder one must have immediately,like Sun Tzu e.g.With your first victorious army you can build the Heroic Epic thus enabling you to gain many more leaders much easier,doesn´t always work mind you,was fighting a thousand year war with Japan last game and didn´t get one,even after I built the HE.Only in the closing stages when I had Samurai and victories were all too frequent did I get some, used one to rush Sun Tzu and the other to create an army of Samurai,btw one thing that you should do with a leader,use him up!Don´t let him wait too long or let him be forgotten in some city, chances of getting a new one are big enough,they aren´t that seldom,so use them to give yourself an advantage.