Didn't see a strategy topic for this so I created one. Just played this and when Conan was out of gems to defend and about to be devoured by Thog, Shevatas threw the Explosive Orb into the area. This unfortunately did not damage Thog (who dodged) but it did kill Conan which prevented Thog from dealing the killing blow and gaining an easy 4 energy.
In fact, once Shevatas found the crossbow he was a very effective sniper, staying out of Thog's range and dealing damage a little at a time. Unfortunately Conan and Valeria could not escape and Thog was able to get the energy he needed for the Overlord to win.
Some things to remember:
1) Make sure you use the Thog tokens with Intangible. The walking through walls bit is what makes the difference.
2) Remember Valeria's counterattack ability. It won't hurt Thog but will occasionally hurt other enemies.
3) Remember the exertion limit of 2 while in Thog's area. That makes a huge difference and is why ranged attacks are more effective against him.