Not me. I spread them out between all of my cities and wish the AI would do so as well. Visually, it's just annoying to see 5 wonders built around the same city. I've also seen the AI capture and raze a city that had several wonders.... lost for all time.
If you're main problem with this is how it looks, then you've maybe missed the point of playing a strategy game.
In some cases it it is worthwhile building wonders outside of the capital. As mentioned, the 33% culture bonus from the piety tree is something that I need when going for culture victories, but if it wasn't for that I would most likely be too busy building other things. I usually have to use a GE from building Pisa in my 2nd city to rush a wonder in my 3rd city, and for the 4th city I usually annex an enemy capital with a wonder already in it to save me having to build.
The reason for having all your wonders in the one place is the multiiple, stacked bonuses. My capital, working at least 6 landmarks, will have the highest base culture in the game, so I want anything with a percentage multiplier in this city, along with anything that gives a base culture increase. So that's Terracota Army, Great Oracle, Alhambra, Sistine Chapel, The Louvre, Christo Redentor, Sydney Opera House. On top of that I'd probably want Taj Mahal for the extra great artist points. If they were spread out across my empire I probably wouldn't get close to 1000 culture per turn.
Also, I'm not sure what difficulty you play on, but certainly at Immortal level margins are tight and it's real fight to get wonders before the AI does. I simply don't have time to spare in letting cities with lower hammers than my capital try and compete to grab an important wonder.