I usually try to build my Alhambra so that every "direction" (north, south, east, west) has at least one "open" connection. That way, I can almost always build any tile right into the Alhambra without wasting turns rearranging from the reserve pile.
If one direction is "closed" by a three-walls-tile, I try to open it up as soon as possible by placing a new tile in a way that it opens up the direction again.
In the endgame, you can adjust the strategy to one of "filling gaps" in your walls, so that walls are usually something between 12 and 18 tiles long at the end of the game.
I think this gives a nice balance between "not wasting turns rearranging to fit a tile" and a reasonably long wall. The resulting shape is usually a rectangle or cross.
One reason why I don't like playing this game (at leasst the base game) with more than 4p. It's painful getting stuck with chepa tiles, but don't have more than 2 open sides. Then agian, I suppose you could just let someone else take them while you stock up on $$.