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Sir, I resent the accusation that I am not a raging warmonger. 
I would also like to add that my general progression in the game is:
1. REX
2. Build and switch to Monarchy
3. Enter medival era with either the HG or the GL or both.
4. Go to war using mounted units, or medival infantry if I'm in a pinch.
5. Conquer (most) of my continent (I do play a huge map, after all, with 15/16 other civs). Around 2-3 medium-large civs subjugated generally.
6. Build Sun Tzu's, Sistine, JS Bachs, Leo's. I can generally do this while at war.
7. Switch to Democracy before researching even Gunpowder sometimes; definitely before Chemistry etc. Build build build build.
8. Get all the other wonders I can from that era. My "possessions" should be entering the level of standard cities by now.
9. Enter industrial era and get steampower
Then, if I need it:
10. Go get MT and war again
By this point, normally, I'm powerful enough that no one will attack me in earnest and I can wait to take them on on my terms.
Normally this progression serves me well, with variations, for always every civ. If I'm playing as the Aztecs, Celts, Iroquois, I'll blow my GA just to conquer conquer conquer. But I'll generally wait for Knights and their (better) UU equivalents, to do my conquest.
But all this is damn hard when play as an early-game disadvantaged civ, such as the Romans, and I imagine the Spanish and Koreans as well.
As as mentioned before, the 3 units in each city I build when I have spare time, and to police them (up to 3 under Monarchy; 2 despotism and 4 communism, which i almost never use)
I would also like to add that my general progression in the game is:
1. REX
2. Build and switch to Monarchy
3. Enter medival era with either the HG or the GL or both.
4. Go to war using mounted units, or medival infantry if I'm in a pinch.
5. Conquer (most) of my continent (I do play a huge map, after all, with 15/16 other civs). Around 2-3 medium-large civs subjugated generally.
6. Build Sun Tzu's, Sistine, JS Bachs, Leo's. I can generally do this while at war.
7. Switch to Democracy before researching even Gunpowder sometimes; definitely before Chemistry etc. Build build build build.
8. Get all the other wonders I can from that era. My "possessions" should be entering the level of standard cities by now.
9. Enter industrial era and get steampower
Then, if I need it:
10. Go get MT and war again
By this point, normally, I'm powerful enough that no one will attack me in earnest and I can wait to take them on on my terms.
Normally this progression serves me well, with variations, for always every civ. If I'm playing as the Aztecs, Celts, Iroquois, I'll blow my GA just to conquer conquer conquer. But I'll generally wait for Knights and their (better) UU equivalents, to do my conquest.
But all this is damn hard when play as an early-game disadvantaged civ, such as the Romans, and I imagine the Spanish and Koreans as well.
As as mentioned before, the 3 units in each city I build when I have spare time, and to police them (up to 3 under Monarchy; 2 despotism and 4 communism, which i almost never use)
Definitely worth it... if you're religious.
But I don't really have anything to contribute -- for one thing, I've never played Rome on a huge map and haven't played a huge map in a long time (but have played with slowmovers where the distance between capitols makes the standard map feel huge -- i.e., lots of roads needed for an offensive); for a second thing, I think Arrian and vmxa1 are providing all the advice you need. I'll add only one bit (and do it here rather than there) -- don't count games as lost or likely lost in the ancient or middle ages - from the descriptions of your games, and the comments back from vmxa1's downloads, it sounds like most of the time you're in a position to win easily but you don't see it that way because you haven't acheived a clear leadership position in all facets just yet. With more experience playing games out, I suspect you'll come to see, at some fairly innocuous point in your games, that the game is almost assuredly "won" even though you're behind in tech, behind in empire size, behind in military strength, etc.
. I tend to play Emperor, standard maps, random civs and conditions. Sixteen civs is harder than eight civs, no doubt. But on a standard map, if I find myself more or less on parity with the leading AI civs in the early middle ages, then the game is almost certainly won. The ability to control the tempo through selective warfare, alliance diplomacy, and tech trading means, barring something really unusual, I should win. AI's will almost always engage in some wars, and AIs manage wars badly -- not only do they lose far more units than a human player would, they tend to drop all pretense to doing anything but make war -- all builds go to units, etc. A good AI war, with the right diplomacy, can set back the entire AI world, while you plod along at your own tempo, in your own direction.
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