You do not have to first create a flat coveyor, though. You can set the height of the conveyor's anchor points already during its creation in the definitions dialog that opens when you click on the conveyor in the tool box. (This obviously does not work that way if you insert it using drag & drop since in that case the conveyor is already created once you release the mouse button over your frame).
In the definitions dialog, you can set the parameters of the next polycurve anchor, as e.g. a curve radius or, as in this case, the height of the next anchor.