I would create a society based upon my own views, than expand until I have a country of a certain size, once I'm done leading personally, have a series of puppet rulers carry out my will while I enjoy the "fruits of my labor."
So I'd be Genghis Khan but probably worse.
This will easily take a few centuries to complete and fine tune to my own version of perfection. So, once I get to that point, I'll decide my next project or fuck off and piss away time for a bit until inspiration strikes me.
In my view of immortality, I cannot be killed or harmed in any way imaginable, I do not age, and I can single-handedly raise or topple empires. So, Superman but nowhere near as boring.