I think there was such an option in Civ3, where your cities will keep builiding the same unit, till you change it. I didn't find this option in PTW. Where is it?
it doesnt seem to work right in MP though, my cities seem to want to build spearmen when they finish archers.
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"I've lived too long with pain. I won't know who I am without it. We have to leave this place, I am almost happy here."
- Ender, from Ender's Game by Orson Scott Card
MP is really wierd about build orders in my experience, too.
It never asks for new orders after it's built a unit or improvement, no matter what the setting.
I also HATE how you can start a battle with an enemy unit, and the map zooms in on your next unit awaiting orders before letting you see the outcome of the battle.