My concept for these was several competing teams battling the elements and each other to confirm or deny the veracity of the original tale. But I have realized that I have neither the time nor passion to pull off such a grandiose scenario. For rules I would recommend Iron Ivan Games "Where Heroes Dare", but you of course could do what you like if you purchase them.
I currently have these listed in the Marketplace area on TMP and plan to put them on Ebay shortly.
Figures are from RAFMs Cthulu Range, Copplestone Polar Explorers, and the Great White North range (Mounties and Trappers) sold buy recreational conflict. Painted in acrylics, dipped in polyurethane and sealed with 3 coats of GW Matt Spray. They have all been based on metal washers (the sled is on flexible steel).
All the figures were painted by me except for the Elder Thing which was painted by the Diabolical Brush of Doctor Merkury.
Includes 20 men, 7 husky dogs, 1 sled, Walrus, 3 Shoggoth, 1 Elder Thing, and a 5' tall Albino Penguin.
If you want to add to these I recommend the Winter War figures sold by Recreational Conflict, especially the Russian Archaeologists. You know they'd send a team. http://recreationalconflict.lusagi.com/tigerimages/full/ice08.jpg
If you want more painted Elder Things, Doc Merkury is currently taking commissions and might be able to help you out.
Here's a link to the Ebay auction. http://www.ebay.com/itm/Lovecraft-Back-Mountains-Madness-28mm-RAFM-Cthulhu-Copplestone-/290914488016?pt=Games_US&hash=item43bbdaced0