How to get conky work even in lock screen?

This is possible with xscreensaver:

1) Install xscreensaver

sudo apt-get install xscreensaver xscreensaver-data

2) run "xscreenserver-demo" once in order to create an initial configuration file

xscreensaver-demo

3) Edit the configuration file .xscreensaver in your home directory

gedit ~/.xscreensaver

4) Append the following line to the list of programs (in my case, directly after the line containing "unicode -root \n\")

"Conky"  conky -q --window-id=$XSCREENSAVER_WINDOW -c ~/.conkyrc-screensaver \n\

5) Put your conky config file under the name .conkyrc-screensaver in your home directory.

Here an example for a sample conky config file for displaying the cpu load:

wget http://pastebin.com/raw.php?i=iBD8bHqj -O ~/.conkyrc-screensaver

6) Start the xscreensaver daemon and open settings in the opening window

xscreensaver &

7) Select "Conky" as screensaver

Screenshot

You can find more information on how to set xscreensaver as default screensaver in Configure screensaver in Ubuntu.

Source: How To: Conky as a Screensaver for xscreensaver