Using CMake to build Conky is pretty easy, and here is how I do it:

1. From the top level source dir, create a build working dir, and cd into it

$ mkdir build
$ cd build

2. Run the cmake configuration process

$ cmake ../ # pass the path to the sources to cmake

OR

$ ccmake ../ # you can also use the fance curses interface, or try cmake-gui

3. Compile as usual, and enjoy the out-of-source goodness

$ make
# make install # if you want

There are a number of build options for Conky, and the best way to discover them is to use the ccmake (or cmake-gui) CMake tool for browsing them.

Certain Conky build time features (such as doc generation) require third-party applications, which you should be notified of via CMake. In the case of doc generation, you'll need the docbook2X package (available on most distributions).