Lets get back on topic:
Tips for Infernals (Not like you need them but hey!)
1. War and war early. Before you even switch to Infernals, make sure your mother race declares war on its evil neighbours. This will generate manes as they slaughter one another. As the Infernals you will want to kill your mother race anyways because they have your Holy City and that means they have Meshabber of Dis until you take it back. This presents an interesting option, if you were the Malakim before summoning (and were in a desert), their cities will surrounded by a sea of fire (it's very amusing) which makes them ripe for the taking.
2. War war war. Your first targets should be evil civs, you'll want manes to fuel your infrastructure. Good civs are generally useless to war against other than they hate you and you them. (But Infernals should hate everyone until they are good little slaves or serve as manes)
Try to make peace with Good civs and follow tip 4 and 3 on making them useful enemies first.
3. Not Evil? Convert the bastards! This is important to keep fuel on your economic fire. Remember those Good civs that were useless for making manes? Next time you ask for peace demand they switch to Ashen Veil! Next time you declare war (which should be immediately after the treaty ends) they will now generate manes when razing cities! >: )
4. Spread Ashen Veil far and wide. Take that extra effort to spread the Veil, I cannot stress enough that Infernals wholly depend on manes, manes come from evil and neutral civs. If everyone is Good then you will LOSE. The more Ashen Veil you spread the greater the chance other civs will change their religion to veil, especially if they don't have a state religion yet!
5. Raze or not? Generally, this is whether you're going for a specialist economy with Guilds or if you're going to want more cities to build more units. If you are going to be building a specialist economy, you'll normally going to want to keep 3-4 cities around your capital with God King each with high populations. Generally I keep 2 production cities (hammer focus), 2 commerce cities (money focus) and one massive city (research focus) that has over 60 population. Your hammer cities will only need 10-15 pop surrounded by mines and workshops. Your commerce cities should spam cottages and spam merchant specialists. Your research/specialist city will probably be ALL specialists pumping out great people in under 20 turns each!
The rest of the cities you have will be very low pop and used to transport your armies to the front lines using gates.
6. Small armies. It's very tempting to have a 50 person stack with all your heroes. That's a nono, not only are they a nice collateral damage target but they will have mobility problems. Normally I make stacks for each of my heroes, supported by longbowmen, diseased corpses (cured of disease and not) and 3-4 Ritualists. Speaking of which, Ritualists = your siege weapons. Diseased Corpses=your fodder (champions that come with AV and have almost the same attack). Stacks of 10 split across 5 armies will give you a highly mobile army, you can crush multiple cities, respond to threats on your own cities try to take Mobility and make sure each unit moves 2 spaces at least to keep your momentum going.
7. Hybo's Whisper! I generally save this until I find out where everyone is. Use this to gain access to a second continient or a civ that is otherwise out of your reach. You could also use this to get access to a city close to the AV holy city, perhaps the city itself (never done that before, not sure if it's possible)
Actually that's about it, you generally don't need advice since the Infernals generally roll most civs at lower difficulties. I normally play on Immortal and my advice for people who are thinking about going to try this on immortal is: Momentum is your strength, especially if you get the Infernals early. DO NOT LET UP. DO NOT STOP. Convert, burn and kill all your foes (in that order!). Nothing is more satisfying than seeing Malakim roasting in a sea of flame or elves surrounded by barren wastelands.
A few things on techs: Priesthood is a pretty important tech because they enable Ritualists, Ring of Fire and Cure Disease are very important in my strategies, I normally bulb it or rush it with the Grimoire. Don't try to save the Grimoire for later, chances are your Mother Civ might steal it from you.
Guilds is a must if you want to run a specialist economy, since you don't need food to sustain your population you can have an infinitely large city so long as everyone is at eachother's throats.
Mining is pretty important in that you'll be spamming Mines on every tile you can and Cottages on all the flat land.
Mathematics is my favourite tech for Infernals, you have huge armies, you need money to support them! Gambling Houses and the Bazaar of Mammon is a welcome addition!