When using LXDE, Fluxbox & Icewm, I can get transparancy for conky by enabling composite using xcompmgr or enabling compiz fusion. But on XFCE4 is different, enabling composite doesn't effect on conky, still get black background.
To enable composite you can see at #3 on this post.
After enabling composite, conky still not get transparent like this below:
Above picture is using "override", following archlinux wiki on here:
Using normal & desktop,
I get transparent like this picture:
But there's problem, you can right click on conky area, so if you using wide type of conkyrc, it will be trouble if you usually using right click to open menu. So conkyrc that suitable for xfce with transparancy is small type of conky.