I just recently decided to dig Grim Fandango up from the depths of my game collection and finally round it (for some reason I never did back when I bought it), and ended up at this exact same problem myself. Here's what I did.
I downloaded the CPU Killer program (
http://www.cpukiller.com/) and set my CPU to run at 300MHz (I could probably have set it higher, but I figured what the heck). Starting the game and loading my savegame took forever, but when I got there I was able to get off the conveyor just like I assume is the intention. I can't remember if I had it running up or down when I got to this point, but I don't think it really matters.
Hope this helps - I've just started on Year 4, hope you will too ;)