And another Wildling!Rickon. I'm sorry, but I'm having too much fun with this headcanon.
Skagos, the place where Rickon went, is said to be home of unicorns (and other mystical creatures). And the free folk/wildlings behind the Wall utilize bones for armour purposes, so it wasn't that hard to get inspired by it. Also, it gives a really badass feeling when you even have the skull of an unicorn.
You can see a first sketch of it, but I wasn't happy with the way it was strapped on. So I went with the full pelt, what counts as cheating... But it provides some more armour quality and keeps him warm.