There is basically a spectrum for how you can run your campaign. At one end is the totally isolated from one another adventures with varying characters (different people show, or same people use different characters) at varying times (even before previous adventures), though more typically this end consists of generally isolated adventures that occurs days or months after previous ones with roughly the same characters who are advancing in experience over time. At the other end is a virtually day-by-day account of the character's exploits and other world events going on, though this can be too extreme due to monotony (let's just get to the next city, skip the 3 random encounters!), world events don't happen too often plus communication takes time so you would experience much of these, and finally PCs would advance too quickly (even at a pace of 1 level every couple of adventures, if the adventures are every couple of days, in a month they'll be extremely high level). Further with the latter, you can just let the PCs dictate their plans, which is what I do with a lot of fantasy gaming, i.e., let them decide where they will seek adventure, etc., rather than placing them in the midst of it as is the typical case, whether in Conan or D&D.
For Conan, I tend toward the former, i.e., adventures which are largely isolated from one another, but keep some consistency of time and geography changes (i.e., a few weeks might pass, and the characters have moved on from the last adventure taking place in Shem, and now they are in Zamboula, Turan, Stygia, or Koth for their next adventure, but not in Vendya, Khitai, Hyperborea, etc.). If the game runs long enough, they may hear of world events, they may change the course of world events (less likely), they may be affected by world events (more likely), and they may encounter some connections along the way (e.g., run into the same villain, ally, rival, or contact, get involved with an aspect of a world event (e.g., one country invading another, so they are in the army of one or the other, or run into a battle, or whatnot), etc.).
You can create as many connections as you like, but the more you add to create an on-going campaign, the less free you are to just run a fun adventure sometimes. A few metaplots can be useful as a guide, and also provide the PCs with information to work with though. They can end up just being world information, can have a minor effect (PCs traveling from Zamboula to Turan for whatever reason have to deal with incoming raiders from Turan), or can have a major effect (PCs in the defense of Zamboula), but you have the ability to choose the level of effect in any given adventure, which is nice. So the PCs choose to avoid the incoming Turan raiders, and in the process, find and explore a haunted pyramid - at that point, the Turan raiders can be of no concern to the PCs or they can be a chasing force that drives the PCs to the haunted pyramid - the world event can have a minor effect on them, or not one at all if they are interested in the exploration anyway.
In summary, having a few available metaplots can be useful, but don't feel they force your hand in driving certain adventures.
