They do as wonders are buildings by definition!
Tested it in a Marathon game to check out scaling for game speed:
Interesting fact: Decay times do not scale with game speed! Hmmm....
Doesn't seem right. I've never been anal enough to exactly pay attention to when decay begins, but I'd always guessed it began around 30 turns because it would take that long before the expected turn for completion changed. Perhaps the decay is so inconsequential that it doesn't begin effecting the completion time until a significant amount of time has passed. Of course, I'm a hammer hog so I might not notice it as much.
Unlike most players I rarely build cottages, instead I maximize production. That means mining (not windmilling) all hills, watermills, lumbermills, and irrigating as much as possible in order to grow to use the productive terrain. I also stay in OR the entire game. Unfortuntaly, I am almost never able to found the Mining INC.