Build a golden palace ?
The nice thing about gold is is that it is so shiny, so people value it highly just by looking at it.
Same thing for silver/diamonds etc.
These all being rare helped alot as well, but that probably became important in a late age.

ah yes, the classic "treasure room" answer. i had an archer/smith/enchanter in skyrim that was the head of every guild, and would craft dual enchanted ebony bows with his money. he had a pile of almost 1000 of these by the side of heirlarchen hall.

gold, silver. diamonds etc are represented in caveman as "cool rocks". this could be anything from a gold nugget to an amethyst geode to a piece of pyrite to rolled hematite -anything that looks cool and unusual. they are hard to find, require a lot of stonelore skill, and have a high trade value, but are only used for sacrifices to the earth god Gah.

"treasure room" is a viable money sink in an RPG, and a fondly remembered feature of dungeon keeper. IRL i was contemplating one before the dot com blowout ended my early retirement. but i find that it also tends to be a rather hollow pursuit, especially when you've accumulated a large number of treasures. the thrill from that first gold bar is great. the thrill from the 1000th gold bar is almost non-existent unless you're one of those obsessive-compulsive 100% completion types.

but things like treasure room, achievements, and other such "bragging rights" type things might be all that's possible.

with regard to the "10,000 gp sword but merchants only have 1000 gp" issue, i was thinking that very high quality objects such as high level quest treasure might become collectibles. you might trade them to a wealthy band for a large amount of ordinary trade goods, but probably wouldn't be able to get full value for it. so you might just keep it and use it. eventually trying to equip yourself entirely with high end quest treasure. over time the items would degrade down to normal quality. but you'd get stuff like sacks and boots that last for years, and triple quality weapons, armor, and tools. one concern is the "chain reaction" of killer tools from high end quests being used to craft killer objects.

its also possible that "bragging rights" type things with no real gameplay impact are the only things that makes sense.

the only money sinks (stuff that costs you parts/supplies/objects) are:

since all resources are freely gatherable, and all items can be crafted from resources you gather, you don't really need to "buy" anything. there are only a few things you can craft that can't be traded, such as a cave painting in your cave, these are about the only things with an unrecoverable "cost", other than services such as getting healing or hiring a warrior.

one potential money sink with a real world basis is oversized clovis point caches as a sacrifice to Goomah the Mother of Animals. the current animal god sacrifice is one of your kills, which of course you can't do until the hunt is over. i was thinking of adding oversized clovis point caches as a "before the hunt" form of sacrifice, or perhaps even re-introducing the god of the hunt from v1.0.

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postmortem:

i figured out its not "what to do when you're high level", its "what to do when you've done it all" - IE used up all the game's content.

the player needs a continual supply of compelling new content appropriate for their level.

not that hard in classic D&D, given an obliging DM. a bit more work for video games.

quest gens, free DLC, quest editors and quest sharing amongst users, and scaling the game to player level are all possibilities.

Caveman will have 50 types of quest gens (20 are already done), a quest editor, quests made with the editor, and it already scales to player level. i'll probably release some free DLC quests made with the quest editor as well at some point after release of the game.