Ouch - Immortal seems too hard

I know it is meant to be more of a challenge, and I have tried a number of starts now, but frankly immortal seems too hard to be fun.
Maybe I need to not worry about settling extra cities, but it always seems like I am way behind in terms of army.
DO I really need to change my play from that which worked at Emperor so much?
Or maybe just keep trying until it sticks?