When you start a game, concentrate on building settlers and nothing else. When you get enough to create about 4 or 5 cities, just make a few more to build mines, roads, etc(The benefits of building those extra things are beyond measure when you get a lot of them).
DO NOT BUILD SOLDIERS. They are a complete waste of time at the beginning unless the enemy is very close to your towns. Concentrate purely on founding new cities and economic buildings(caravans help too, not for just extra money, but they also contribute a lot of shields for building wonders which will greatly benefit your civilization). Remeber, the more cities you have, the faster reaserch goes. If you build soldiers at the beginning, you will just end up with outdated, weak units when you and your opponent get better technologies. If you just concentrate on advancing your economy and technology, you will be able to create soldiers that are extremely advanced compared to your enemy's. I followed this example and colonized a new planet in the year 1818, when the other guys were just getting used to old guns with gunpowder.