Gyrokinetic simulations are among the main tools to predict turbulent transport in the core of fusion devices. Unlike the core, the plasma edge and scrape‐off layer are characterized by lower temperature and higher collisionality. To allow for realistic gyrokinetic modelling of edge and scrape‐off layer turbulence, it is crucial to include collisional effects into the simulations. In this work, we present a full‐f, gyro‐averaged, multi‐species, Lenard‐Bernstein/Dougherty (LBD) collision operator, for the use in the gyrokinetic turbulence code GENE‐X. The operator accounts for exact particle density, momentum, and energy conservation, with collision frequencies chosen such that the momentum or temperature relaxation rates of the Boltzmann collision operator are recovered. We provide a conservative second‐order finite‐volume implementation of the operator and present a thorough verification. Due to the excellent conservation properties of the finite‐volume implementation, it is possible to use a coarser velocity space grid, save computational resources and, as a consequence, perform simulations of larger fusion devices.