I gave up on getting CPU temps in Conky (on my Acer Aspire One netbook) ages ago. Something to do with hardware incompatibility with lm-sensors, or acpi or something...Anyway, I never figured it out.
But after trawling through the Crunchbang forums in search of why I couldn't manage to compile the acerhdf module...I discovered how to find my CPU temp! Once I got acerhdf to compile (it turns out that I hadn't installed the headers for my Linux kernel, so the make was crashing out), I followed the instructions on this post to display the current CPU temp.
All you have to do is type
cat /sys/class/thermal/thermal_zone0/tempin a terminal, and it outputs the CPU temp in degrees C.
To use this in Conky, just use
${exec cat /sys/class/thermal/thermal_zone0/temp}
Happy Conkying!