Just put a softlink to conky in the 'Autostart' directory within .kde directory in your home directory.
on my system, it's:
to make a softlink use ln. the basic syntax for ln is:
ln -s target linkname
so if you are in the .kde/Autostart directory, for conky the command would be:
ln -s /usr/bin/conky conky
See the man-page for ln for details. As brett's code suggests, it's probably a good idea to put a short delay (sleep 5) in there so kde can finish starting up before conky loads. To do that, put brett's code into a text file, name it something like 'conky_load.sh', make it exectuable and save it where you save your scripts.
to make the script exectuable, use the chmod command:
chmod +x /path/to/text/file/conky_load.sh
On my machine, I save scripts in /opt/scripts. So, from within the .kde/Autostart directory, the code to make the softlink would then be:
ln -s /opt/scripts/conky_load.sh conky
Hope this helps.