In 1.6.4 or above, conduits don't need to be set to an 'In' blue arrow, or an 'Out' orange arrow. In fact, it is not possible to set to an in or out arrow, as that is done automatically.
However, in 1.5.2 or below (I believe), conduits will need to be set to an 'In' or 'Out' mode. 'Out' mode (orange arrow) should be used on energy-producing things such as dynamos, or extracting energy from sources such as a Redstone Energy Cell. The 'In' blue arrow is used for accepting energy to machines which either consume energy, or Redstone Energy cells which store it.
tl;dr Blue arrow = IN, Orange arrow = OUT