I've played two Sauro campaigns (they were my first EB faction, in fact), and neither time has my expansion been primarily westward. Both times I was attacked quickly by the Pahlava, which of course drew me eastward and toward the teeth of the AS. You simply don't have the money early on as the Sauromatae to have much of an army, making beating back the other nomads, and then the phalanxes of the Arche... difficult. Thankfully, Sauromatae bodyguards are gods until their neighbours get their own super-heavy cavalry, and pick up chevrons incredibly fast.
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