I ran across this post from Daedalus and I thought I would jump in and tell you guys how to make it work:
Here is the original map. I am going to place the wall someplace up here as I am too lazy to look for its exact location. This is just a demo/test anyways. I downloaded a demo of Westeros a while back so I am using those game files.
Spoiler Alert, click show to read:
Here you can see I changed map_heights and drew in a wall. And it looks like a huge wall. Once I had it in place I made just the Wall one of the new climates, unused1.
Spoiler Alert, click show to read:
Then I changed the ground_types to impassable so armies could not cross over it. Getting closer to what we want here.
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Then I edited the unused1 climate to show snow for the impassable ground_type. This was just a quick and dirty attempt at putting the wall in the game. To do it properly someone would have to make an ice texture to use for the ground type, and there is a bit of smoothing that needs to be done. But its definitely possible. You could make paths through it that are one pixel wide and set forts in them to represent the doors, and you can probably set things like watchtowers on top of it if you get the x,y locations right. I have attached all the files I changed so the Westeros team can look at them.
Spoiler Alert, click show to read:
Attached is the entire base folder from my current installation of Westeros. There is an extra file named descr_aerial_map_ground_types.txt that you need to move into the data folder.