I'd probably be more inclined to just use the really advanced future (to them at least) technology to create my own country practising state atheism and then take over the world. Of course I'd have to focus on standard of living and getting it as high as possible as that has been shown to be what promotes voluntary atheism.
As for assassinating Jesus, that might be a bit hard considering he probably never even existed, preventing the New Testament from being written would probably be the way to go, also getting rid of Constantine the insane before he can impose Christianity on the Roman Empire would probably work to destroy Christianity (which would have likely died out had they not gotten that lucky break).