This is a great idea, but I would go further. It would be great if each wonder had a one time "pick another wonder" ability. I wouldnt mind if you got nothing back for the current one and even had to pay for the privledge. It would be really nice to be able to at least get one "re-roll" on the irrevocable choices. The same goes for civilization. Again, I don't think you should be able to do it more than once, but it would be nice to have the option to undo a mistake in another way than remaking the game completely.
In each case, it's fine if it costs something. It's important though because a lot of the descriptions are vague (for instance, stonehenge gives me bonus gold from caravans, but until it's too late to go back, there is no way to know how much!). And after you have been playing for a few ages you have a MUCH better idea of what the best ones will be for your playstyle.
TL;DR Please make it possible to change wonders and civilizations, even if the cost is very high, without having to make another game.