Certain wonders are great to capture, Sun Tzu and Leo's for instance. You get their benefit where ever they are located.
It's different with most of the scientific wonders. Copernicus and Newton's both boost the science rate in the city where they are built. You will like to build them yourself, because in your core you've got the best science rate, so their boosting effect is much bigger there then in a hopelessly corrupt town.
There's nothing as frustrating as setting out to build a wonder and then getting it snatched away from you by one turn. Especially the Ancient Age doesn't lend itself well to building wonders. If you're playing with a lot of civs, they more or less all will start building wonders. Then the cascade effect is your biggest worry.
If you for instance want to build the Lighthouse, but a number of civs are already building the Colossus, maybe better forget it. If one of those civs completes the Colossus, the others are likely to transfer build to the Lighthouse. If you still have to start, you're likely to miss out. One of the civs that is now building the Colossus can probably beat you to it.
So learn to assess the situation, monitor what other civs are building, count turns and shields, and be picky about it. I wouldn't say 'no' to building wonders, but it's also a valid strategy to just build up military units if you see your neighbors building Pyramids, Oracle, Lighthouse, Artemis and so on, and then trying to grab one or two once they're built.
Artemis will even still give you huge culture points because of all the temples it erects, so that's definitely one that should awaken the vulture in you when you see a neighbor getting on well with that! So just build up units, and hope and pray that he gets it. Or alternatively, hope and prey that he gets it, if you get my drift.