Welcome to the Mongoose CONAN RPG boards! I myself have been a visitor here for only a few weeks, but already feel very much at home. Many of the posters here have very extensive experience in Conan RPG as well as other RPGs. Some here are even writers of the fine Conan RPG books provided by Mongoose, e.g. the walking encyclopedia of all things Conan, il Maestro Vincent Darlage.
Regarding your question, I handle the matter very simply. If the players survive my difficult ordeals and trials of combat, I up them a level as a reward. Conan RPG is, as you may already know, very gritty, so I think this method gives them incentive to survive and keep playing the game.
If they live, it is usually by the skin of their teeth. I don't think it's a good idea to be bogging down in a massive table or chart converting monster encounters, CRs, traps and the like. Monsters and other beasties don't have CR's in Conan, IIRC. If it looks big, mean and nasty and you don't think you can drop it...run! Watch where you step, don't anger the natives, and above all: sleep with one eye open when you visit Hyboria! Gold pieces (gp) are not that common in this system, so rewarding them a mound of gold is not normally going to happen, and monsters tend to be rare. Most challenges are human antagonists (lechers, sleezy cut-throats, vile sorcerors, etc.). If an NPC or group thereof is significantly higher in HD or class LV than the PC or party level, then I think this simple plan is fine. If the antagonists are all below their aforementioned level, then the next adventure should be turbo-charged to give them a hard time. In other words, make 'em work for it, or they don't come home in one piece.
Skill and brawn are prime here, not glittery magicks, fluffy hobbit-feet, and elves that look like Liv Tyler (mmmmm...Liv Tyler). Sorry.

If you require something more complicated, I'm sure some of the other members would be willing to throw their two bits into the hat.