The Dullan Water is the river that goes through Dufftown, and the Conval is one of the hills overlooking Dufftown.

I don't know what a wahnie is for sure, but I'd an idea that it's a tyre hanging over a burn for swinging on maybe?

Futtled is whittled, or carved.

At last year's Keith Festival (I think - maybe 2006) Jim told how he'd taken the afternoon off from the festival and driven up to Dufftown to see if he could find the cairn, but he said the song wasn't specific enough.