Rune was created by Ultraverse Editor-in-Chief Chris Ulm to be one of the lynchpins of the Ultraverse, a bad guy on the level of Doctor Doom or Lex Luthor. Barry Windsor-Smith was brought into the project later and he and Ulm redeveloped the character. They plotted the issues together with Windsor-Smith providing the art and Ulm the dialogue. (Edit: Info courtesy of Tom Mason)
These were some of my favorite books that the Ultraverse put out, especially the early ones that were drawn by Windsor-Smith.
After Marvel bought up the rights there were a couple of crossovers involving Rune. Conan seemed like a natural fit.
There was one book where they shared the title (Conan vs. Rune), and Rune appeared in issue No. 4 of the monthly Conan book (along with a small flashback appearance in No. 5) and Conan The Savage magazine.

These are a little tougher to find since they are pretty far off the beaten track. If you can’t find them in a cheap lot they are readily available at places like Mile High or mycomicshop.com, but they’re going to charge you a few bucks.
It’s better to be patient on eBay.
The Conan The Savage magazine is pretty cool. It’s black and white inside which looks perfect for the content. I wish they had done more books like this for Rune (there are a bazillion Conan black-and-white magazines).
Storing it is kind of a pain since I don’t have any magazine boxes. I just keep it flat in a closet with a few other magazines.

One of the cool things about the original Conan series, the one that started in the late 1960s and made BWS famous, is the ninth issue.
There on the cover is a flying bluish guy that looks kind of like Rune. It isn’t, of course, but maybe the idea stuck in his head as a prototype for later use.
In any case it doesn’t belong on an Ultraverse checklist but I’ve had my eye out for a cheap copy for a while now. In nice condition those early Conans can be pretty expensive.