CONAN says you should always wear protection

Iconic as a loin-cloth clad CONAN might be, he does spend a lot of time wearing armour because of the obvious benefits. After an ambush by Picts that kills all his men, CONAN is asked how he survived.

"How did you get away?" He asked presently.
CONAN tapped his mail shirt and helmet.
"If more borderers would wear harness there'd be fewer skulls hanging on the altar-huts."

From "Beyond the Black River"
Page 458. The Complete Chronicles of CONAN.