I started the "Thaw of the Lich Lord" campaign with my son last month too. We've really been having fun playing Frostgrave, and it has definitely put Mordheim on the back burner in our house since it was released!
This is the first attempt we've had at playing any of the campaigns. I have a feeling it's going to be a slow one, since I'd like to get the right terrain in place for each of the scenarios! Right now I am working on the terrain for the next scenario, the battle on the frozen river.
Here are some pics from the first scenario.
I beat him in the end, but a big part of the reason was his terrible luck with the monster rolls. All of the monsters either popped up in his deployment zone, or randomly wandered over to him! Haha, poor guy!