Here's my slightly rogue theory of what the show might to with regards Ramsay and Rickon (dreamt up in the shower, probably bollocks).
Yesterday's episode - inkeeping with its title of 'Oathbreaker' - had an underlying theme of betrayal / allegiance shifting/ conspiracy etc. Examples include:
- the High Sparrow clearly seeking to indoctrinate Tommen to 'turn' him towards the Faith Militant
- Varys recruitment of the brothel woman from Meereen to reveal the secrets of the Sons of the Harpy
- Qyburn's recruitment of the children to be his own 'Little Birds'
- The grisly fate of Olly due to his betrayal of Jon Snow
- The Umbers' betrayal of the Starks by turning in Rickon to Ramsay
I wonder if this theme might signpost what is going to happen to Rickon?
Ramsay is obviously a sadist, but as demonstrated by Theon's 'fake escape' he also enjoys mental as well as physical torture. I don't think that the writers of the GoT show will simply have Ramsay torture Rickon as I think it would a) be lazy and boring and b) the onscreen torture of a child would be unpalatable. So one possibility is that Ramsay may actually be very kind to Rickon, portray himself as some sort of substitute father figure / mentor with the intent of turning his loyalties from his family and to Ramsay and House Bolton. Think Star Wars Emperor Palpatine turning Anakin Skywalker to the Dark Side and eventually into Darth Vader.
In the books a very young Rickon is portrayed as the slightly more 'wild' of the Starks. He has also been through a hell of a lot in his young life. You could see how he might respond to someone being kind to him and be vulnerable to this sort of 'grooming' by Ramsay.
In honesty it would probably make more sense for Ramsay to simply use Rickon as bait / a bargaining chip. But we know (to Roose's previous frustration) that Ramsay is impulsive and sometimes puts his desires ahead of his strategic best interests. His creation of 'Reek' also shows he enjoys the idea of changing / controlling people. And he knows that having Rickon on side would be a psychological dagger to the heart of the remaining Starks, as well as possibly useful in rallying banners to House Bolton's cause.
I think the above would be quite an interesting plotline to see unfold. But it's GoT - Ramsay will probably just end up ending up flaying Rickon and burning him on that cross...