I would just like to say this.
Do not try and get a kingdom until you can afford to recruit Xerina and Alyssa without a sweat (Both if I recall have an over 10K price tag) once you can do that it's pretty easy to build a garrison as you have the money to throw around.
Secondly, never go for a castle as your first initial kingdom starter. Go for a Capital City (IE: Praven, Suno, Dhirim etc) I personally went for Dhirim, but that is cause in almost all my games I tend to butter up the Vaegirs and the Nords, so I am in good relations with them, and Dhirim is nestled pretty close to both of em, but it still held by the Swadian.
I personally play with TONS of cavalry units, do this with some path-finding and you can move at 6-7 on the map with an army of 200+ makes getting troops, reknown etc alot easier since virtually nothing that can beat you can out run you, and every worth the money and time can be run down.
Also note that make sure you seperate your skills (Works better in my opinion) by that I mean, have your Heros all specilize in one skill, it makes capturing easier simply for the fact that by level 20 you should have several skills at 8-10 since you and your heros are all sticking to one and "mastering" it as it were.