The conveyor belt automatically rotates to the direction you're facing when placing it (you can hold shift to lock its rotation).
To get stuff in or out of a structure you can place a funnel so that it collides with the structure. The arrow shows the direction of the funnel, and the funnel will automatically pull from the structure behind the arrow and push to the structure in front of the arrow. The funnel can also interact with items on the ground.
You can place a funnel up against the mining rig to pull items from it and onto a conveyor belt, and on the other end you can place a funnel to pull from the belt and into a chest.