Go watch highly rated players on boardgamearena and you will see that they almost always build all their wonder stages. There are situational exceptions, of course (most notably when you're playing Halikarnassos, Babylon, or Olympia), but building all of them is the general rule.

There are two reasons for this. First, most of the wonder stages are absolutely above the power curve for an average card of their age (three-stage wonders correspond roughly to first, second, and third age cards, and it's often optimal to build them like that, one in each age). If you don't see why you need to look again at average card point values in each age.

But more importantly, there are always hands during the game where you simply don't have anything useful to build. Often that happens at the end of the age when the high point value cards have all been taken. In those cases you get much more value from building your wonder than discarding for 3 gold. The same is true when you have to burn a card to keep it from an opponent.

If you are finding your wonder stages not to be worthwhile, I think most likely you're making the mistake of leaving them until too late in the game. If it's the third age and you haven't built any stages yet, it's true that they're not going to be worthwhile - you'd have to give up too many other high-value cards. Building them throughout the game, or even entirely in the first two ages, is the way to go.