But Pompey as I have him steadily advance south all these partisans appear out of nowhere and start taking back all the cities he just conquered which grinds my campaign to a halt.
I think the trick here is to only care about your supply sources; don't worry about taking or losing level 1 fort cities. Then two pieces of advice: try to force Sertorius to attack entrenched legions, and seek to wipe out his troops. Legions are the one thing he can't replace, so target split up legions ruthlessly (even at the expense of losing elements). I just played this scenario and didn't have as much trouble, but I think I was lucky because Athena was quite aggressive; I trapped a large army sieging Gades after it ran low on supply and caught Sertorius inside a level 1 fort after an indecisive battle (and he couldn't escape, as despite 'defeating' my entrenched legions a number of teams he always retreated back inside the fort in the battle phase).