OK, there are a couple of stages to this.
The main thing you need to do is go into your valar morghulis folder and go to world/maps/campaign/imperial_campaign/descr_strat.txt
You should then be able to scroll down and find Jon Snow as a general of the Night's Watch (Thrace). The first thing to do is move his entry into the wildlings section (gauls). You'll also need to change his bodyguard unit to "wildling bodyguard". You may also need to edit data/descr_names.txt if it turns out that the names "Jon" and "Snow" aren't currently available for the wildlings, that's the most likely error to crop up.
And if you want him to start in a different location, press the ` button (top left of a standard keyboard) when in campaign mode to open up the command window, use toggle_fow to turn off the fog of war, find where you want him, put the cursor there and use show_cursorstat to get some new coordinates. You can then type those into descr_strat in place of the current ones. Hope that helps!
PS if you've not modded RTW before, also add the -show_err command to your shortcut if it isn't there yet, that'll let the game send out error messages that help tell you about most bugs you might find