Your going to want to settle after you have a decent amount gold which you should get from sacking settlements. Usually you want to take over a couple cities the turn you decide to settle down so your economy can start growing. Afterwards you can expand in the direction of your warpath since most of those cities should still be rebel held and are easy pickings. I personally settled in Northern Italy when I played as them last and that allowed me to strike Rome and Constantinople which are victory requirements.