I use the D&D natural AC bonus as the base Conan DR, and I use Dodge Defense as the default defense mode. I apply Energy Resistance (e.g. Fire Resistance 10) to what the base Conan DR can absorb (ignoring the D&D score), and allow the D&D DR bypass to bypass the base Conan DR. So a Balor would have natural DR of 19 that can resist acid & cold, but is ignored by blessed cold iron weapons (there are no alignment-based effects in Conan, but blessed & demonic attacks could be a good substitute - silver weapons are a typical weakness with Conan demons). Because outsiders have good Reflex, the Balor dodges like a Barbarian (-1 size, +7 Dex, +15 natural = 31), but it dont have any natural parry bonus from it's HD - taking levels in a class would stack with it's natural defense. Demons in Conan usually have the Manifest ability, unless they are bound to the earth (like being trapped in a physical form by sorcery). Enchanted and otherworldly creatures (anything thing with spell-like abilities) would have a natural sorcery ability (BMAB, base PP, and so on) equal to their HD, so a Balor could cast spells as a 20th level Scholar. Such monsters generally know whole styles of sorcery then just individual spells - which is good, because making high-level sorcerers is a real pain in the ass! Spell-like Abilities are most likely to be noted down as Special Abilities, because of the different spell lists with both systems. And dont forget to add the Ref bonus to the Initiative roll, to not count Fitness as a feat - hell, just run through the skills and feats for compatibility!
I once converted a D&D Succubus into the Conan rules and posted it on this forum. You might have to run a search for that tread.