Where do we want the capital? I'll start a pilgrimage there as soon as I have enough turns.
Right now I think the best thing you can do is to be wherever you are, and start amassing money and levels. Remember than exp is shared with the party, so smaller parties level faster. At 6 you can place a garrison, who will sit and fight things that wander by, and at 10 you can construct buildings that provide benefits to your garrison. Tower/Fort/Castle gives defense and upgrades buildings in tiers, markets give gold daily, barracks give exp daily, and wards of protection/defense/attack increase your resistance/defense/damage - all applied only to units that are garrisoned on the same tile.
You can make a lot of money finding artifacts in dungeon quests, which also show you where dungeons are so you can loot them normally. I made a ton of money just going into good looking dungeons and slaying whatever I came across, and a lot of exp. Get into good armor as soon as you can, once you get characters to about level 5 with plate armor and steel helm, the lowly skeletons and stuff can't hurt them, but make sure they're repaired, as less durable equipment offers less defense!
When I'm able, I'll be heading to the lower right side of the map to claim the neutral territory there. In the meantime I'm at 9,38 because the town of Carpabbey has a god-like blacksmith, and he's helping upgrade my indestructible halberd. As soon as I can get someone to level 15 and install them as a mayor, then we'll see about collecting into a proper drawfhood.