You need to chop-rush things, and whip. In my latest game I've been playing for a while, I completed StoneHenge @ 1550 BC (Ramses II, Industrious +50% Wonder Production). Which is by no means an "early" completion for it.
City #1: 3975 BC, Thebes - 1 turn delay to build on a Hill, better BFC outlay.
City #2: 2200 BC, Memphis - Next door to the Capital.
City #3: 0650 BC, Heliopolis - Walked a ways to Hook up Stone.
City #4: 0260 BC, Elephantine - Travelled by Boat to Hook up Copper.
#5/ 160 AD, #6/655 AD, #7/850 AD, #8/870 AD, #9/940 AD,
#10/980 AD, #11/1010 AD, #12/1170 AD, #13/1375 AD, have 2 more coming in the next 2-3 turns.
Took 2 others from the Barbarians. Somewhere in between.
Theres also some things you can do with Production Queue toggling, where you bounce back and forth between building things. And when you Chop-Rush/Whip put in a building that you get a big bonus to production, for Ramses that'd be a Temple... later game forges, but yer not building those early on.
Or Chop Rush a Warrior a Settler when there are many turns left to completion but the 30+

will complete it 4/5+ turns quicker.
Generally don't whip/or chop rush, when the carryOver will be more than the cost of the unit - that is lost hammers.
Sometimes You'll want to whip 2 population or more.
So I didn't complete Stonehenge until after my 2nd city. And I didn't bother for the pyramids since it took too long to get stone hooked up. I generally don't go for the pyramids, but for some people thats one of their must-haves.