A little misconception I'd like to clear up here.
Several people have said that you only get wealth when the caravan hits a town.
This is NOT so. You do get a little wealth bonus in each town when the caravan sets up its route, but after that, you get continuous income from it, just as you would for wood choppers, or miners.
Also, caravans do not stop at every town. Their route only takes them back and forth between two cities. They may go by other cities, but they do not stop.
Now, on maximizing wealth. You can indeed mazimize your wealth by halting caravans. All you have to do is grab caravan, and move it somewhere. Anywhere will do, so the shortest distance is best. When the caravan stops, it will idle for a moment, then will figure the most profitable route for it to go off on.
However, there is something to keep in mind. When you do this, the caravan is take off of its route. At that moment, it stops contributing weath. It will start generating it again, only when it has reached both cities on its route. Therefore, if it tries to set up a long route, it may be a little while before you get any income from it.
You will indeed get more income from the route when it is set up, but it may be a minute or two before the route is back in operation. During this time, you are loosing wealth. Doing this can be a doule edged sword, so only do this with caution.