Oh pioneers can harvest? I dident know that x)
The resource has to be in a certain radius from a city for the pioneer to be able to make use of it. I haven't quite figured out how far (inside your cultural boundaries at the least I think but could be wrong, I need to test that). Move the pioneer to the resource and see if the 'settle' option is highlighted. If not, wait around until it is (assuming it eventually does become highlighted).
I've had resources in my cultural borders that weren't highlighted. Some eventually were, some not, in the several hundred turns I played after moving a pioneer there.
Regarding starting strategies -- settle right away then explore or explore first, if both are equally viable (so far it seems to be so) that's the sign of good game design.