I'm happy to help. This is one of my favorite RPGs.
It is deceptively different from D&D and other d20 games based on Third Edition. Much of what you know about those games is changed in this game.
As for the Scholar, it's an interesting class. It is used for specializing in things. Master Merchants are Scholars. Priests are Scholars. Sorcerers are Scholars. Those who read and write and know a lot about educational topics (like a Sage in D&D) is a Scholar class in this game. Even someone who wants to focus on a single skill--like a Master Weaponsmith, would be well served to choose the Scholar class.
So, the Master Armorer in the town, is probably a Scholar class, along with the chief cultists at the church, the Duke's Historian, and that strange fellow up on the hill that lives alone--the one that people talk about scarcely, and when they do, they show the sign of the horns, for it is said that one uses dark sorcery. All of them are Scholar classes.
Some thoughts:
1. You may want to multi-class. There's no restriction for Scholars using armor and weapons--you just need the appropriate feats. Multi-classing can help you make a strong combat character out of a Scholar. Look at Thulsa Doom in the first 1984 Conan movie. He's a Soldier/Scholar. The same goes for the 2011 remake. Khalar Zym is also a Soldier/Scholar (though it's not clear if he focused on sorcerous spells or uses his Scholar feats for Knowledge skills).
2. If you do multi-class, read The Rule of Obsession closely. Page 230. Your power points can be penalized if you focus on another class other than Scholar. This depends on how your GM implements the rule.
2a. Check out the supplemental book, Hyboria's Finest. That book speaks to the Scholar class and has a lot of stellar examples on how to multi-class a Scholar.
2b. You also may want to look up Barbaric Treasures and Barbaric Sorcerer. These two supplements (along with a third called Barbaric Warrior) were published for the Conan RPG by Misfit Studios. You can get them for cheap on DriveThruRPG.
2c. As a Sorcerer, other books that you'll be interested in are: Stygia - Serpent of the South, Secrets of Skelos, and Scrolls of Skelos. Secret is written for 2nd edition and Scrolls is written for 1st edition, but both can be useful. Secrets is the one to get if you're only getting one of them. There is some over-lap of material.
2d. If you are playing a priest or cultist, like Thulsa Doom or Khalar Zym, that is a Sorcerer, then you might be interested in Faith Fervour. But, I think this is better used as a GM only book, as it is more direction and ideas on building religions appropriate to the Hyborian Age.
3. Your GM can have quite a bit of control over the character in that he will decide when you get new spells. Yes, your character level makes you eligible for new spells, but it is your GM who decides if you have access to these spells. Your GM can have even more control over you as a Scholar if you end up with a demonic pact. That's a source of good spells the GM can give you, but you also face corruptions and other problems with the demon.
4. Read, closely, about Corruption, page 82.
5. The Scholar, specializing in Sorcery (as it is assumed a player will do with the class. The non-Sorcerous Scholars are usually NPCs.), can be made or broken by the GM. The GM can make it damn cool to be a Sorcerer. Interesting and intriguing. Too many GMs more familiar with D&D than with the Hyborian Age will run Sorcerers like Magic Users in D&D--which is totally incorrect for Conan's world. The GM has full rights to create an entire religion or cult for the PC Socerer, and even if the Scholar is an Independent, it's not like being a wandering Mage in D&D.
6. Don't expect your spells to be like D&D spells. The sorcerer in the Hyborian Age is more long-term and story oriented. You're not going to find spells like Magic Missile and Web. There are not a lot of overt combat spells. But, there are spells that can totally mess up a foe. Sorcery in the Conan RPG is completely different from the experience of using magic in D&D. It's a lot more role play oriented. It's darker. It is twisted nature. Sorcery is shunned in many parts of the civilized world and feared in many parts of the barbarous world. You will get a lot less spells, in number, playing a Scholar in the Conan game, too, when compared to a D&D mage.
7. I said this above, but it needs its own bullet point. In order to get the maximum enjoyment out of playing a Scholar, you need a GM that understands sorcery in the Hyborian Age. He has read the Howard stories and understands how different sorcery is from standard D&D magic. If the GM "gets it", then you are in for an incredible experience. If the GM does't "get it", and you expect to be a mage as in a D&D, then you are in for a massive disappointment. Just the spell choice alone--which you will have about zero control over what spells you get, if your GM does it "right"--will turn you off.
8. Get out of your head the D&D mage. "Socerer" is not a class. "Priest" is not a class. You can be a priest, or a sorcerer, by being a Scholar class (and you can be other things as well), but it's all one class. It's the class that specializes in educational areas.
9. WIS is important to you because it is the base for your Power Points. Power Points are used to throw spells. WIS is also used to modify the WIL save, which is what you will use as defense against magical attacks.
10. CHA is important because it modifies your Magical Attack.
11. CON is important to you because it governs the skill Concentration. It also modifies your hit points.
12. INT is important to you, especially at 1st level, as it modifies your base number of skill points. A Scholar is tied with the Thief, getting the most skills in the game. It's a big plus of the class. Scholars, if built correctly, will have a ton of skill points, making you have massive bonuses on skills. You can focus on all sorts of things to make your character unique.
12a. Any skill points that you get from having a high INT score (if you have an INT positive modifier), you can use those points on ANY skill in the game as if it were a class skill. In this way, you can improve non-class skills without playing double skill points to do so. It's a reward for being smart.
12b. The other stats: STR you need if you melee. It gives you bonus to damage and bonus to penetration. It also modifies your Parry AC. DEX modifies your Dodge AC. You also use it for missile and thrown weapon combat. And, it is used for Finesse Attacks, where you can bypass armor (good for characters with low STR).
13. Look at the skill list, especially the Scholar Class skills. Which appeal to you? Those attributes associated with those skills will be important to you. For example, if you wan to be good at Move Silently, then you'll want to have a high DEX score.
14. When prioritizing skills, look for skill synergy. You won't be able to take advantage of synergy until level 2, but it's a great boon to get.
15. When choosing a race, if you GM allows it, pick a race where the Scholar is the Favored Class. This happens with most of the Hyborian nations, as with the Khitans, and the Stygians. Having Scholar as a Favored Class will give you a bonus Feat at level one and more bonus feats at higher levels.
16. Since your CHA will probably be high, due to the fact that you need it for your Magical Attack, you will also be interested in the Allegiance and Reputation rules. If used correctly by the GM, these rules can greatly increase your influence on NPCs.
17. Read the Leadership Feat, page 130. Scholars, especially those that are priests, cultists, and sorcerers, usually have followers. Thulsa Doom and Khalar Zym both built up armies loyal to them. You can too, if you build your character towards this feat (that you can't get until 6th level).
18. Even before 6th level, there are ways to influence NPCs and get them to do your bidding, from bodyguards to henchmen to followers.
19. In personal combat, especially at 1st level, use the Fight Defensively rule. The Conan RPG is a deadly game, and this will boost your AC by 2 points.
19a. After you've settled on your attributes, read through the section of the Combat chapter that details the Combat Maneuvers (starting on page 204). These are very important as they are like getting extra combat feats. Only some will apply to your character. Look at the pre-requistes for those that interest you, and become familiar with those that your character qualifies for at 1st level. They are something that will be quite helpful to a Scholar character.
20. The Decipher Script skill will be important to you in reading ancient languages and such when trying to find new spells.
Lastly, don't just think in terms of spells and weapons. Sorcerers in the Hyborian Age can be quite crafty. You may want to get into Herbalism and/or Alchemy so that you can make powder bombs that, when thrown at the floor, blow up and flash, blinding those around you. Or, for example, a dust that you can blow at people or animals using a blow pipe, that will send them into a deep sleep. Poison may be your secret weapon.
These aren't spells, but many of the NPCs (if the GM plays them correctly) will think that you are casting spells.
Much of sorcery in the Hyborian Age is subterfuge.
In my game, there are these Priests of Nergal that use the Conjuring spell to make themselves appear to be walking dead. It scares the hell out of anyone seeing them. I use the Terror of the Unknown rule, see page 376, on NPCs and PCs when applicable. This is a great example to show you how to make the game work for you when you are a Scholar.
