Which wonders you build can be greatly beneficial towards a religious victory. If you manage to rush Stonehedge off the start before anyone else you are guaranteed to get a religion founded from that since it will provide you with a free great prophet, and then you can go from there. Of these wonders, the ones you can afford to miss are probably Potala Palace, and The Oracle. Every other wonder here will boost your apostles and missionaries, or grant you some free ones.
Wonder: Hagia Sophia
Requires: Education
+4 Faith
+2 Great Prophet points per turn
Missionaries and Apostles can spread religion 1 extra time.
Must be built on flat land adjacent to a Holy Site district, and player must have founded a religion.
Wonder:Mahabodhi Temple
Requires:Theology
+4 Faith
Grant 2 Apostles.
Must be built on woods adjacent to a Holy Site district with a Temple, and player must have founded a religion.
Wonder: Mont St. Michel
Requires: Divine Right
+2 Faith
+2 Relic slots
All Apostles you create gain the Martyr ability in addition to a second ability you choose normally.
Must be built on Floodplains or Marsh
Wonder: Oracle
Requires: Mysticism
+1 Culture
+1 Faith
Patronage of Great People cost 25% less Faith. Districts in this city provide +2 Great Person points of their type
Must be built on hills.
Wonder: Potala Palace
Requires: Astronomy
+2 Culture
+3 Faith
+1 Diplomatic Policy slot
Must be built on a hill adjacent to a Mountain
Wonder: Stonehenge
Requires: Astrology
+2 Faith
Grants a free Great Prophet. Great Prophets may found a religion on Stonehenge instead of a Holy Site.
Must be adjacent to Stone and on flat land.
If you can manage to get a majority of these wonders built, and focus on the more important ones, you should have the strongest religious figures around and should be able to spread your faith with little resistance.
Wonder: Hagia Sophia

Requires: Education
+4 Faith
+2 Great Prophet points per turn
Missionaries and Apostles can spread religion 1 extra time.
Must be built on flat land adjacent to a Holy Site district, and player must have founded a religion.
Wonder:Mahabodhi Temple

Requires:Theology
+4 Faith
Grant 2 Apostles.
Must be built on woods adjacent to a Holy Site district with a Temple, and player must have founded a religion.
Wonder: Mont St. Michel

Requires: Divine Right
+2 Faith
+2 Relic slots
All Apostles you create gain the Martyr ability in addition to a second ability you choose normally.
Must be built on Floodplains or Marsh
Wonder: Oracle

Requires: Mysticism
+1 Culture
+1 Faith
Patronage of Great People cost 25% less Faith. Districts in this city provide +2 Great Person points of their type
Must be built on hills.
Wonder: Potala Palace

Requires: Astronomy
+2 Culture
+3 Faith
+1 Diplomatic Policy slot
Must be built on a hill adjacent to a Mountain
Wonder: Stonehenge

Requires: Astrology
+2 Faith
Grants a free Great Prophet. Great Prophets may found a religion on Stonehenge instead of a Holy Site.
Must be adjacent to Stone and on flat land.
If you can manage to get a majority of these wonders built, and focus on the more important ones, you should have the strongest religious figures around and should be able to spread your faith with little resistance.