I finally got Conky working under KDE. Took a bit of fiddling to do though.
First, in order not to have Conky vanish the first time I right-clicked on the desktop, I had to set 'own_window_type normal'. Having it set at the recommended 'desktop' would result in Conky being hidden below the desktop as soon as anything was done.
Second, I have to set the background using Esetroot (feh was recommended, but I was in a hurry, so downloaded the package from testing, rather than use gslapt to get it, and missed a dependency). Once I have the dep, I might try feh again, but Esetroot does also work.
What I had to do to get Conky's transparent background working was to create a short shell script in ~/.kde/Autostart. Its pretty simple -
Esetroot -s /usr/share/wallpapers/vector-blue.jpg &
I initially tried to add the Esetroot command to /etc/X11/xinit/xinitrc.kde but that didn't work. The recommendation in the Conky FAQ is to add feh or Esetroot to ~/.xinitrc, but Vector doesn't seem to use that, so I had to improvise.
This seems to work, though it does have one side effect that I've noticed - if I attempt to start compwiz-fusion, X dies and I end up back at the KDM login prompt. Not sure if there is a cure for that one, but compwiz doesn't work too wall on my laptop anyway, so I'm not going to worry too much
BTW, the conky 1.5.1 package seems to be taking a while to get through initial testing. If anyone wants a copy, PM me with your email address and I'll attach a copy. Its not very big - about 110 K, if I remember correctly.