I've tried razing every building I can in cities captured. This means it will take a while to get anything worthwhile out of the new conquests, both in terms of troops and trade. I made one exception - you can keep the church/temple if it is one you can build further up. You could expand this to allow building of your own culture to remain.

A tip is to always exterminate larger towns when you get them - otherwise you have a certain rebellion on your hands.

Another advantage of this strategy is that you get loads of cash at the price of a smaller income.