Conkey was in Hammond, Indiana which is very close to Chicago. I found more about the history of Conkey here:
http://www.hammondindiana.com/history/industry.htm
At one point it was considered the largest bookbinder in the world. It was later sold to Rand McNally but closed in the 1980s.
Watchtower researcher Ken Raines confirms that Conkey bound the Studies in the Scriptures set as well as the book Angels and Women:
http://www.premier1.net/~raines/killer.html
I'm sure with the large runs that Russell had bound by Conkey he got a very good price.