I've been roughly following the story order given by the Gollancz editions of Conan, but I don't regard it as crucial to precisely define the order. If it does have to be done, I favour something along the lines of that proposed on this webpage:
http://www.angelfire.com/tx3/robertehoward/conan.html
I'm not sure it's really necessary, though. Howard didn't seem to bothered by it. It's clear there are several distinct phases to Conan's life -- thief, mercenary/wanderer, highly ambitious mercenary/wanderer, king -- but that should be all we need for running a game, I think.