How to Create a Conservative 3rd Party without helping the Democrats:
Step #1: This election cycle every conservative in a Blue state votes for the Green Party Presidential candidate.
Step #2: Green Party gets at least 5% of the national vote and becomes "official". They may get some government funding, and can argue for a seat at future debates.
Step #3: True believer liberals and socialists now flock to the Green Party because they believe that the Democrats are owned by Wall Street.
Step #4: Republicans regain their majority status as the Democrat Party loses members to the Greens.
Step #5: Create conservative party. Siphon the true believer conservatives away from the Republican Party, without guaranteeing a resurgent Democrat majority.
Admittedly this will take a couple of election cycles even if everything goes as planned. And it requires solidly conservative folks to hold their noses and vote for socialistic Green Party presidential candidates.
But what's the alternative?
The GOP came about due to the transitional Freesoil party. They were anti slavery but favored a containment strategy which attracted abolitionist democrats and Whigs who just wanted to stop slavery one way or another.
They failed in their attempt to elect a president but they did elect a surprising number of congressmen. The republican party popped up with just the right combination of issues to attract Whigs, Freesoilers and Democrats.