I think you are likely used to the old edition version of Olympia "A" (now it's day). Its power fits more to what you're saying. The new is definitely harder to play. A few tips : try to play a lot of browns and reds, no blue until age 3 (unless really nothing else to do), and be very careful with greys and yellow which can be counterproductive, but sometimes good, yet most of the time, meh (I said it was hard). If you fear your neighbors are going to be heavy red, then maybe try the night side which is kind of weak but more flexible. If things don't work out but your economy is kind of good (are you are the green player), then consider abandoning your wonder all together, it might be better.
Playing Olympia correctly is definitely a challenge and you sometimes need luck on the top of it. At first, you should not be too worried about being last with it, especially against stronger players with more stable wonders like Halicarnassos or Rhodos.