It sounds like a losing strategy, and I am sad that it’s come to the point where conservatives feel the need to look at such an option.
All of that said:
1) No Republican strategy has been working lately.
2) When Republicans HAVE won, they haven’t given us what conservatives expect.
3) Such a party could ally itself with remaining conservative elements in the Republican Party.
For all of the above reasons, in spite of the associated dangers, I would probably be willing to abandon the Republicans in favor of such a party.
No, there is no losing. Simply because there is nothing TO lose. Lose another Romney candidate? Lose people that want gay everything? lose people that want amnesty?
What exactly do we lose? We get that from both dems and GOP and we do not WANT IT to begin with. There is only gain.
I think Ted Cruz and many other Conservatives at all levels within the GOP would not hesitate to move to a "real" second party.
Any true Conservative can see our Republic is about to be destroyed -- they would know a real Statist opposition party is our last chance for peaceful change.