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And don't forget to activate the new spawn point with "Use" key! Costs for the sleeping bag: 6x plant fiber, 3x twine, 3x branch. In order not to walk the same way again and again and to make faster progress, you should always have a spare bed in your inventory.
Don't forget your sleeping bag! Sleeping bags serve as spawn points after death, but they disappear after you die. Cost for the campfire: 50x branch, 30x stone. If you want to save resources, just build a campfire, which offers 8 camp sites. A monument to our god (preferably Yog) is enough for the beginning and takes high amount of wood and stones. No base for now! Having your own shelter sounds tempting, but wastes too many resources at the beginning of the game. To build the pit you need: 360x stone, 160x wood, 15x twine, 30x bone. It supplies you with meat and a good melee weapon for the start. Ogres have it easier once they have built a sacrificial pit for their god. Gods, help! The cannibal god Yog is a good choice for the start of the game, because faith in him can increase your chances of prey and take maximum advantage of many humanoid enemies.
The simplest rule in Conan Exiles is also the most important: never leave anything that even looks halfway useful! For example the water bag at the beginning.