Yes, lol! I don't sell all of mine of course, but like early on you can have great artists so very long before you have art museums, and your neighbors will pay crazy amounts for great works when you create them. I don't usually sell more than 1 to anybody, but I can get like +25 gold and luxuries early in the game as Russia, which helps just so very much. I feel Russia's like the one civilization I can keep up with the computer players with on Diety difficulty setting.Sell the great works as they're created. MaryKB posted about her Russian artist farms on another thread. I haven't tried it, but it should be a sure fire way to generate a ton of cash.
Oh I so didn't know you suffer a tourism penalty so very large for someone who doesn't have your religion. But as Russia it's like so easy for you to get 1000+ faith a turn, so converting your rival shouldn't be all so difficult?