How do you do that and build all the wonders before everyone else and have every district available in your cities and have a religion?
I don't.
I very rarely found a religion. That's the one Victory Condition that's usually closed off to me, but I can usually tell right away whether it's an option or not. On the higher difficulty settings, if I don't find a Natural Wonder and am the first Civ to meet at least one Religious City-State, I usually don't bother with building any Holy Sites at all.
At the higher difficulties, there are a lot of Wonders I almost never build, but there are some that the AI rarely goes for. I almost always get the Colosseum, for example, and relatively late. The AI is slow-in-the-head on all of the maritime aspects of the game, in general (which is why the Continents & Islands map favors the player), so I can usually get a few of those Wonders. The AI loves the religious Wonders, but that only matters in the rare game where I'm going after a Religious Victory. It also loves the Scientific Wonders, but I still sometimes get one of them, maybe one game in four.
I don't usually build any Districts at all the first couple of Eras, unless I'm going after a Religion. The one District I usually build early is the Government Plaza in my capital, and I put Magnus there as my first Governor. Then I build the Ancestral Hall (+50% production of Settlers in that city,
and a free Builder in every new city). Combine that with Magnus' "Groundbreaker" (+50% yield from plot harvests), "Provision" (Settlers trained in the city don't use a pop point), and "Surplus Logistics" (+20% growth in that city; and trade routes to that city generate +2 Food for the city sending the Trader). Magnus is my man. Magnus almost wins the game, all by himself.
Number of cities is the key to the whole game. Don't worry overmuch about spacing them out. Cram them in wherever you find a good spot. After I've used my four Warriors to scout in a circle around my capital, I take a moment to put down some map-flags, plotting out where my next 5-8 cities will go (I think of it as concentric circles, but of course that'll get messed up by the terrain almost immediately).
Early on, I concentrate on building my army (just as a deterrent and to deal with Barbarians) and then Settlers, and I take land. I start by building Slinger-Settler pairs in my capital, usually 3. Once I have four cities, I build up my infrastructure a little, 1 or 2 Builders to get Luxuries and maybe a farm or a mine, if one of my cities is lacking food or production. Maybe a Trader, if one of my cities is really struggling to build or grow. Once my initial 4 cities are at ~4 pop each, I apply the Colonization Economic Policy card (+50% production of Settlers) and build a Settler in all four cities, and double the size of my nation. Then expansion pauses while I built new military units for my first four cities, and build some Builders and infrastructure. A while later, once those four new cities are at ~4 pop, I'll do that again, building 6-8 new Settlers and doubling in size again, more or less. By this second round of Colonization, I'll usually have built my Ancestral Hall, so I'll get 6-8 free Builders with my new cities.
So by then I've got at least 12 cities, maybe more. That's when I'll start to dig in, build Walls and Districts and Traders, maybe launch a few Scouts.
"Conan, what is best in life?"
"To crush your enemies, to see them driven before you, and to make them listen to whatever music you want."
The only thing that really derails the plan is starting the game next door to a belligerent p.o.s. who declares war on me early. Moctezuma, I'm telling you... don't do it... don't... no... ugh... At that point, I just have to go into Conan the Destroyer Mode, whether I wanted to or not. The worst thing that can happen is to get bogged down in an early war that doesn't end with me sitting on a bunch of cities.
If you do feel like curb-stomping the AI, the biggest "I Win Button" in the game is to build a big army at the beginning and attack the first Civ you meet. Just wipe him out. Take his cities and send him packing. You'll have a few cities and all the room for growth you'll ever need, and nobody will be mad about it, because you haven't met them yet. Game's basically over at that point, you can do whatever you want and you'll never have to fight another war if you don't want to.