I'm assuming you got the slackbuild from here:
in which case you would want to follow the instructions provided here:
I've installed several packages using this method, and it's pretty simple once you get used to it, but can be a bit time consuming.
To make things easier, I recommend using the SBoPkg tool, which you can find here:
To install it, download the prebuilt package:
And then use the installpkg command to install it. (As shown on that page. You need to be logged in as root.)
Once sbopkg is installed, just run it from the command line, synchronize with Slackbuilds.org, and search for the packages you want, adding them to your build queue. When done, process the build queue and sbopkg will build and install the packages for you. I definitely recommend reading the slackbuilds howto, so you can get an understanding about how a slackbuild works. Sbopkg simply streamlines the process, keeping things organized for you while still allowing you to maintain control over your system.
As for Conky, using that slackbuild you should be able to build and install it without any issue, but if you would like to add LUA support, you will need to install the required packages and their dependencies. First, once you have found conky, go down to the "Options" section in the menu and enter in "LUA=yes" (no quotes). Add it to your build queue, then add the dependencies as follows:
Conky with LUA support requires lua, imlib2, and tolua++, which you can add by searching for them using sbopkg.
tolua++ will require lua (which you've already added), and scons.
Once these packages have been added to the queue, from the Queue menu, sort them to make sure they are in the following order:
This will ensure the dependencies are built first. Once done, process the queue, and you should be on your way!
Yes, this process can be somewhat involved, but installing conky is actually pretty good practice for figuring out how to manage dependencies in slackware and learn how to use sbopkg.