KINGMAKER!
An adventure path for Pathfinder was published some years ago that set the players up in a sandbox wilderness area. The players are free to go anywhere they want. There is no over-all plot or story arc, though there are some interesting stories to discover. The PCs are given a charter to explore the area and eventually settle parts of it.
When I first saw this, I purchased it. I thought it would be an excellent base to use, transplanted to the Pictish Wilderness. The PCs would get their charter from Aquilonia, of course, and the PCs would try to explore and tame the lands of the Picts.
I still haven't converted the adventure path for play during the Hyborian Age, but I mention it here in case you like the idea and want to run with it. There are lots of pics and maps about Kingmaker on the net. There's a
free Player's Guide that can be downloaded from Paizo. And, I understand that the adventure path is being turned into a computer roleplaying game.
From a Conan point of view, the players could become Aquilonian barons, granted a section of land annexed by that kingdom, through this adventure. Two books that would be extremely helpful to you are
ACROSS THUNDER RIVER, the Conan RPG sourcebook that covers the Aquilonian border and Pictish Frontier, and
AQUILONIA - FLOWER OF THE WEST.
Robert E. Howard wrote a few pages centered on Aquilonia in an essay he titled
NOTES ON VARIOUS PEOPLES OF THE HYBORIAN AGE. You may be able to find this on the net. I read it in my copy of THE COMPLETE CHRONICLES OF CONAN by Robert E. Howard. It is also included among other published collections of Conan tales.