It really depends on the situation of their cities and the objective of the war. If you want to conquer the entire civ then, I prefer to take out the outlying cities first (especially ones on another continent while letting the enemy beat themselves silly against my well fortified border cities. Then I try to have a two or three pronged attack all aiming for the capital, but close enough together to support the other columns as needed. Sometimes it is easier to isolate their capital and finish off all other cities then unite to attack the capital. I hate to chase the capital around!!