Great Theme, kindling, canteen, hats, bandanas, metal cups and plates, a story about cattle drives or rodeo events. A hayride, a barn dance, donkey game, the mexican candy critters you beat on with a blindfold....just brainstorming.
Western Scavenger Hunt is a great theme for the party. I would suggest Wild Wild West theme which would add thrill to the party. I used this theme for one of my parties with the help of the following website and it was instant success: