I ususally act like my faction would. ÍFor example as Makedon I destroy the Colossos of Rhodus because it is a memory for a makedonian defeat - something no true makedonian would allow to stand.

As with Carthage: if you are palying as Romani then don't hesitate to ruin there unique buildings: they give no bonus to you, you can get lots of money this way and you cause harm to your enemy which he can't repair.

As some factions you can leavy many unique buildings standing, if your wish or if it provides you any bonuses. As barbarians or nomads I destroy wonders not connected to my own culture.