ln -s /opt/foo/conf /home/knoppix/conf

Later you will remove /home/knoppix, but not before copying the contents to /etc/skel. So you have tow options- edit /etc/X11/Xsession.d/45xsession and make sure that conf gets copied along with other stuff when /home/knoppix is created from /etc/skel, or write your own startup script to copy /etc/skel/conf to home/knoppix/boot and set it to run in /etc/rc5.d