The party called for an armed forces commissioner and better assessment to deliver the services veterans need.
Social justice spokesman Mark Isherwood said it was "time for us to reflect as a society" on treatment of veterans.
Communities Secretary Carl Sargeant said the Welsh Government was "fully committed" to providing support.
The debate on Wednesday comes amid continued concern that many military veterans suffer from mental health issues, loneliness, welfare or addiction problems, or have trouble finding work or housing.
"It's not enough just to rely on organisations like the Royal British Legion to raise money and campaign for the 385,000 members of the current and former service community currently living in Wales," Mr Isherwood said.
"As politicians we have to raise our game, and make sure that each and every level of government is playing its part.
"We are 100 years on from the Battle of the Somme," he added.
"The commemorations this year have been a poignant reminder of the need to protect these heroes, and to ensure that those who have served in the armed forces, and their families, are treated with fairness and respect."
Welsh Conservative leader Andrew RT Davies said:  "All Welsh public bodies have signed up to the Armed Forces Covenant, but it's clear that we have a long way to go to redress the disadvantages faced by this section of the community.
"In Scotland, a Veterans Commissioner champions the needs of the armed forces community.
"We want to go one step further here in Wales, and create an armed forces commissioner for Wales, dedicated both to veterans and the wider armed forces community."
Communities Secretary Carl Sargeant outlined the Welsh Government's support for the armed forces to the Senedd on Tuesday.
It included support on health needs, housing and employment.
"This time of the year particularly reminds us of all those who have fought in conflicts to preserve the way of life we have today," he said.
"This year we have commemorated some of the biggest battles of the First World War.  We remember those who lost their lives at Jutland and during the Battle of the Somme, especially in Mametz Wood; thousands of Welsh Servicemen made the ultimate sacrifice.
"Through our Programme for Government we remain fully committed to providing ongoing support and services for our present Armed Forces community."
War veterans and members of the armed forces need to be treated better by society, the Welsh Conservatives have said ahead of a debate in the Senedd.