I'm not sure that I would risk a scorched earth policy ... just depends on the situation. You can't guarantee to capture their cities just because you defeated their main force. You still have to worry about monsters and other factions (where your own cities are concerned) ... and they will still be building units most likely.
Best to kill their main force, then re-capture old cities, and then push forward after training some militia (in non-conquered cities, to spread out to re-captured cities)
Something to consider is that even after you kill their champions, they will re-appear in their cities ... able to cast spells if nothing else.
If you don't use scorched earth, there is a possibility that said champions will re-appear in your old cities ... where you have the opportunity to RE-KILL them for additional injuries 
On the other hand, I would very likely raze my opponent's cities, if they prove a tough fight.