The Conan universe is rich with cults, religions, mercenary companies, and heroic men leading legions of FREE men. It would be cool if there were other ways to get Thralls.
Cultists - It might be cool to have a method to sway Thralls to your beliefs, brainwash, or otherwise recruit them through mystical/religious means. This might require some new items or functions changes but it could come down to placing Thralls at your altars instead of your WoP. This would allow players to create Thulsa Doom style characters.
Mercenaries - Fighting Thralls could be paid in coin. They could have an upkeep cost to make sure that they stayed in your service but the trade-off might be better fighting Thralls. This could even create a new vendor - Recruiters. This would allow players to create mercenary companies like the Gunderman Pike.
Rescued/Befriended Thralls - What if players want to play “good” people. The game starts with Conan freeing you from the cruelty of men only to have you return that “kindness” by enslaving everyone you meet. Taking a note from some taming mechanics, you could create the ability to recruit Thralls by offering them food, water, etc. This would be great for players who want to play characters from honor-bound barbarian tribes. (Cimmerians, Vanir, Asgard etc).
The goal here is not to subvert the regular game play but to add richness to the texture of the Exiled Lands so that players can really form different types of communities and develop identities for their characters.