Would it have ever been a good idea for a Targaryen king to conquer the lands north of the Wall? It would make the NW’s job easier, the land is free, and it gives the knights of the realm the chance to fight “barbarians at the end of the world”, which would sound pretty cool to them wouldn’t it? And how about the Stepstones?

No, it’s a terrible idea, for two reasons. 

First, the Night’s Watch. It actually makes their work more difficult. A small number of men can hold a permanent defensive structure, but they can’t occupy a huge wilderness against a much larger hostile population who can now freely engage in guerilla warfare. 

Second, the land: it’s mostly worthless, being too far north and too cold to be arable except for the valley of the Thenns. So you’re expending huge amounts of blood and treasure for little reward.