Great idea. Now the reality: there isn’t a Conservative Party nor enough time to start one that could be effective in 2016. So we have the GOP and it’s controlled by elitists who hate Cruz and ignore anything he or people like him say. The GOPe controls the money and media machinery that have a major impact on which candidates are perceived by the rank and file as the best ones. So where does this leave us?
Us? What's this "us"? There is no "us" - there hasn't been an "us" in a long time. There's just "you". Vote for who you think is the best candidate; don't be a lemming follower. The GOP has abandoned you, so make do with the best you can, and while you're at it, do your best to not browbeat someone who has decided not to follow the GOP's pied piper tune.
If by "us" you mean informed Americans who understand that it is their duty to vote and who want limited government -- that is, they advocate for the conservative (sparing) use of government as opposed to the liberal (frequent) use of government -- if that is what you mean by "we," then it leaves us in a place where the only way to actually use our votes to assist conservatism is to use them to weaken liberalism. Voting for liberals whether they are Republicans or Democrats strengthens liberalism.
A PLURALITY split, where a president is rejected by a clear majority of American voters, HURTS that president and make him weak. That is what Perot did. Perot's plurality split AIDED conservatives because it was clear that most Americans opposed Clinton. Clinton was hit by the Republican Revolution (not to mention impeached), and as far as I'm concerned, the only responsible way "we" should vote in 2016 if the GOP nominates another Romney, is to vote to WEAKEN whichever leftist is destined to win, the Democrat or the Republican. A third party candidate run in my book would be deemed a success even if the candidate lost, but the liberal who won was denied a popular mandate for more "liberal" government. The BEST CASE would be if the third party candidate, presumably someone like Cruz, actually won -- that would be gravy, though he also would likely be denied a majority mandate.
To my way of thinking, "we" are left in a place where the path is actually pretty clear.