When I got nukes and ICBMs I used them

Also etiquette is nice and everything but in a game 1 of my allies was Romania and they were nuked 10 times in 1 night!

True

It can also turn into a big waste if the enemy has anti air or SAM or Threat defence systems.

Yeah I agree

I have been on servers that nukes were never use and some that nukes are going off all over the place. There is an upside and downside to using nukes.
1 The upside : Nukes can end an enemy game before he ever gets started , when used early it is unlikely anyone has enough air defense to stop you from hitting most of their cities. If somebody scouts you with in game money agents or gold and sees that you have nukes he might choose another target rather than risk being nuked.
2 The downside: If you use nukes that early in a game , that player will remember you on future servers , and if he has friends , they will remember you too. As far as socially acceptable , i would guess half the population hates them the other half don't really care , it is probably more acceptable using them late in a servers life , they are harder to use then because people have had time to build defenses.
There is another price to pay for using nukes aside from players reaction , moral drops nation wide when you use nukes , with lower moral it takes longer for your cities to grow and you have an increased chance of rebellion in newly captured territories. Rogue State grows like wildfire when nukes are used early and often , here are some screen shots , all from 1 server that nuke were used frequently on.

I agree. Some of my games there were practically no nukes but in my other ones EVERYBODY was using nukes.

In terms of dealing with anti-air, I send firstly 1 conventional cruise missile.

Then I send my nuclear ICBM.

It's pretty effective, my trick.

Not if you have the anti air split around and not fullly stacked though @Superchan

Yes I guess so

But I try to win quick victories before people have that kind of thing.

Nuke 'em if you got 'em, man! They are a legit part of the game (otherwise the developers would take them out or limit their impact on the game). Especially if you used gold to get them -- that's either IRL money or IRL time you've spent to get the gold to get the nukes. And once your game ends, it ends, so they really are a "use 'em or lose 'em" proposition (although that's true with EVERYTHING in the game). Does it suck if you're the country they're used against? Sure. But that's why you can abandon games and play multiple games at the same time. I vote let them fly!

Nukes saved me last game early on. I got rushed by Mali and thought I was done for (I was Chad). I couldn't stop his tank blitz (wasn't prepared at all). But I had been researching nukes and had launchers. My final city held up and I began just bombarding him with everything I had. That was enough to stop his rebuild and allow me to go on the offensive.