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Getting ahead in the economic development game is a lot more difficult to master than doing well in the war game aspect. I suggest starting at a difficulty level below Prince, because the higher difficulty levels give the AI bonuses in exactly that, economic development.
The early game is mainly devoted to expanding to more cities, growing those cities to higher population, and improving the tiles to make the cities put out higher yields of food and production. As your empire expands and grows, the cities with higher population and production can build districts and their buildings to give you the empire-wide yields you need to achieve a victory condition. These yields would be the science and culture points you need to move up the tech and civics trees to unlock ever more powerful units, better tile improvements, better buildings for your districts, wonders and everything else you need to win; gold to pay upkeep and upgrade your units, as well as all sorts of miscellaneous nice things; and faith points, that do other miscellaneous things you can safely ignore early in learning the game. The early and middle game set you up to win in the late game, by giving you more power in every dimension to let you get to any victory type before any AI gets to any victory type.
This development game is harder to master than the war game because it all involves trade-offs of one action you can take to get you some benefit that will help you win, against all the other things you could also do to get all the other nice things that will also help you win. Your task is to decide which will be better for you you right now, building another military unit, versus building a campus and library so that 30 turns from now you can build better units than the civ you plan to conquer. These trade-offs mean that the early, mid, and late games are never categorically divided into growth and expansion early, then district yields mid, then exploiting your economy to win a specific victory in the late game. You do some of each in all phases of the game. Everything you do is a trade-off.
Tactics are easier to get right than all that. The often cursed barbarians have this function in the game, that they give you a tutorial in the combat system. They attack you automatically, so you can't avoid learning how to defend your lands. The AI civs will only come at you if you fall pretty far behind in military strength, even if you treat them pretty shabbily.
Of course, if you are going for Domination, you have to take AI cities, all their capitals to be specific. While you can wait until you have late game economic/development mastery and can churn out more advanced units than they have, it usually works out better to do some conquest at all stages of the game, or at least form mid-game on.
Partly this is because conquering cities is one way to expand to the greater number of the cities than the AI has, that you need to claw your way to the top in economic development. The other way is to build settler and expand peacefully, and while you always have to do some of that, if you have an opportunity to expand through conquest there is no reason to hold back. The thing is, early in the game, opportunities to pick up cities through conquest can be deceptive. You have to shortchange all the development priorities of the early game to churn out units if you go in for early conquest, so that stunts your economy somewhat even if you succeed. Even worse, you may not be able to conclude the war quickly and with success at adding cities to your empire, and find yourself in a forever war that keeps diverting your resources away from developing your economy and into a war of attrition.
After your intended victims of conquest start to put up walls, you get into an arms race between offense and defense. The defenders get ever better walls, so you need ever better ways to defeat walls. The details are more difficult to master than open field warfare. You can ignore the complicating details and just brute force your way past walls only if you are an era or two ahead of the defenders in unit strength. Then, in the late game, bombers pretty much end the arms race in your favor -- but only if you do stay ahead of them enough that none of them get those giant death robots and their anti-air. That's so late in the game though that you find it easier to be ahead in tech by then.
Others have suggested smaller pangaea maps to start with. The pangaea part of that helps you get at your victims without the complication of crossing the seas, as a continents map would require. Smaller maps and fewer AIs means there are fewer of them to get through and they are closer to you. Both these features make it more doable to conquer them all earlier, so you can shortcut past the more careful and involved approach you need with a standard size map and the default 8 total civs. It's completely reasonable to start with these conditions, to gain an introductory level of experience with conquest, then move on later to maps that add on naval conquest and the need to keep up with the defenders across the entire time span of the game