If I have a file structure like this:
./main.lua ./mylib/mylib.lua ./mylib/mylib-utils.lua ./mylib/mylib-helpers.lua ./mylib/mylib-other-stuff.lua
Under the Conky's Lua environment I've managed to include my common.lua (in the same directory) as require(".common"). Note the leading dot . character.
common.lua
require(".common")
.