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diferent religion and culture gives you some penalties. afther some time those penalties will vanished and you will have income and levies there.

mouse over castle in that province and you can read in popup when penalties will end.
 
I won 2 crusades as the scots, the land was just too far away for me to defend so I had to let it go. The first time around, I gave it to a good scottish family. The second time around I knew better and awarded it to someone I didnt like very much.
 
the point is to make piligrimage more safe and more easy. it is not the metter of money or power, it is the metter of saving your soul. Just create Kingdom of Jerusalem and give it to some bishop.
 
Give them your heir.

Right now, in the beginning those lands will be pretty worthless due to the conquest penalties, removing all levies and tax income. (The penalty for a different religion last the longest, so try to convert the counties asap) However, several counties in the Middle East, like Alexandria and Cario, are very well developed with many holdings and once the penalties are removed they bring in a lot of cash and troops. So they're definitely worth holding on to. Giving them to your heir keeps the lands in the family until the penalties are removed.

Do keep in mind that you're surrounded by Muslims and there will be countless attempts to retake those lands from you. Luckily, you'll able to hire Holy Orders without paying any upkeep (you only have to pay peity to hire them). Which, if no one else hired them, gives you thousands of heavy cavalry to crush the heathens.
 
If you don't want it, give it to the Church. It's in-character, and will net you mad piety.
 
You can prepare your invasion.

Invite to your court all women of your family you can.

Marry them matrilinearly to foreign courtiers with the right culture/religion.

You have your new vassals ready to give your family new holdings in the crusade lands. Settlements will be operational fast as the only penalty remaining is the one for recently conquered, the shortest of all (much shorter than the cultural and religious penalties=

Once done, you can convert the region. And as you land your vassal, you will have enough influence to request conversion from him once it is done.

After that, it is a matter of choice to know if you remove the cultural difference by tutoring his offspring.
 
I had the crowns of Egypt and Ireland. Knowing the annoyance that comes from holding two Kingdoms I had to decide which to keep and which to give to a family member. My king lived a long time, and so everything was stable. Almost all of the Egyptian counties converted to Catholicism, and many became Irish as well. Egypt was more technologically advanced than Ireland, and it's fun to destroy the infidel, so I gave Ireland away and kept Egypt for myself. The only problem is it has low crown authority and gavelkind succession, so I'll try to change it to elective when I can.