Where can I get an army to capture enemy towns, since nothing can be built in Goreme? Also, how can a hero on this map even get lost in the desert? Or is it limited to just a message?

No, if a hero gets lost, they lose their movement points for the current day. Ideally, this was done for balance, since you will only have 2 heroes, and they will be attacking all the castles completely randomly, and you will need to send a hero, for example, from Eyamos to Goreme, along the bottom route; then the journey will take at least two weeks... but through the desert, it will take less than a week, if you're lucky and don't get lost :)

Update from 04/11/2012, version 1.0

The city mechanics have been refined. (thanks to Olegarkh for testing)