If $f(x) \sim g(x)$, and $$ I_f = \int_{0}^{t} f(x)dx $$ and $$ I_g = \int_{0}^{t} g(x)dx $$
then does $I_f \sim I_g$ (as $t$ goes to infinity) hold? If not, in what situations does it not hold? How would one go about proving such a relation? Furthermore, what might good sources for further reading be?
No.
You can have $f(x) \sim g(x)$ and $\int (f(x)-g(x))dx \to \infty$.
An easy example is $f(x) = g(x) + \frac1{x}$.