one thing i have done is to just play a game through to a certain point (the REX phase or the entire ancient age) on a given difficulty level to see how the AI reacts and see how aspects of the game change:
-how fast is the research
-how many units needed for an early war
-how soon will AI demand tribute
-how fast is the AI expansion
-is it possible to build a certain wonder (without being then creamed by the AI because of lack of military)
basically i would focus on one aspect of the game, or a particular strategy to see how efficiently it works. then once i have honed my skills in the opening of the game and have a good understanding of what i need to do to excell, or merely survive, i try to tackle a whole game.