Where? How? In primaries? Do you think conservatives have been voting for Romney in primaries?
Do you mean the election? So conservatives,of which there are seemingly 100 parameters around here vote for a 3rd party? Whats that going to do? Obama wins with 45-30-25?
Sorry. The process is pretty far along. we have what we have. We band together to win,not to lose.
Ross Perot didn't formally begin running for President in 1992 until June. He also had ~40% support, beating both Bush and Clinton, and he would have retained had he not committed a number of major campaign faux pases that culminated in his dropping out of the race while claiming that the Republican Party was "planning to disrupt his daughter's wedding." Even despite getting back into the race in October and having all of that negative publicity hanging over his head, he still pulled 19% of the vote. Had he not been such a screw up in his insistence on controlling every last detail of his campaign himself (and royally messing it up), he'd likely have won.
So yes, it could be done, with a candidate who is not a wacko. Given the amount of resentment out there, and not just among self-described "conservative Republicans," a real alternative to both Romney and Obama could easily step in and have a real chance of winning.