I say try and hold their cities. It will give you a HUGE boost over every other faction if you manage to take and hold Italia. You get 6 fully developed cities (6 military centers churning out the best units the greeks can offer), a gigantic econ bonus, and a position from which to launch an invasion of any costoal faction (Carthage, Egypt, Gaul, Spain, Selucids, Pontus, etc.) Trust me, keeping the Italy will benefit you far more in the long run.