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I've got a couple of these credit cards, but I also fly a lot, and I can say wholeheartedly that flying is the better way to accumulate miles. I've got a Delta Amex, but I rarely fly Delta anymore because of some changes in my job. I've got enough miles there through basic credit card use to go anywhere in Europe first class. I'm now hoping to have enough to get 2 tickets so that I can take my wife somewhere nice for an anniversary or something. Maybe the 2012 Olympics in London....
By the way, the Delta Amex is not eligible for the regular Amex points, which is also a killer program. My corporate card is tied into that, and I'll tell you that it's the best program of it's kind that I've ever seen. If you're specifically looking to use your points/miles to fly, it's not that great, but the other items are fantastic. I'd check out their site.
Given that Southwest doesn't go where you want to vacation, I'd find the best rate on whatever card the other carriers have and go from there unless there's some place specific that you want to go - hint: United doesn't fly to Moscow. Then you need to use the card as your primary method of payment. Also, tie your card into whatever other bonus programs you can. For instance, rental car companies will give you miles as will hotel chains. You can also get miles for restaurant usage at insane rates (example - 10 miles for every dollar for one of my favorite restaurants in Chicago). The main thing is that you've got to use the card quite a bit to make any sort of headway.
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