Does anyone know how to make pretty cool conky step by step?
"cool" is very subjective. I would start on the conky site, there are some sample configurations with screen shots
If you wish, there are a graphical tools to help with configuration
I like conkywizard
There is also a conky gui on sourceforge
From there, conky is very flexible, sort of depends on what you want. You are going to have better luck if you as a more specific question about some specific feature you desire.