Add these lines to your ~/.conkyrc
:
own_window yes own_window_type panel own_window_hints above
According to conky's documentation (emphasis mine):
if own_window is yes, you may specify type normal, desktop, dock, panel or override (default: normal). Desktop windows are special windows that have no window decorations; are always visible on your desktop; do not appear in your pager or taskbar; and are sticky across all workspaces. Panel windows reserve space along a desktop edge, just like panels and taskbars, preventing maximized windows from overlapping them. The edge is chosen based on the alignment option. Override windows are not under the control of the window manager. Hints are ignored. This type of window can be useful for certain situations.