This may sound counter-intuitive, but religious buildings cost money to maintain and are not really worth the investment – certainly not in the early stages of the game. One slightly radical way to do this is to destroy every single religious building in your empire in your first turn, except for the one in Rome itself which is already capable of building priests.
Initially you need to focus on improving the amount of gold you earn per turn, otherwise, it will soon become impossible to fund armies and pay for vital city improvements. The WRE begins with 68 regions, many of which are already in a state of rapidly declining order and on the brink of disease, but they also present huge possibilities with regard to economic development. Take a good half hour to go through all your cities and regions and check out the position of your armies and the state of your economy. The first thing to do is study your empire in some detail.