I know everyone does things differently, but here are a couple of pointers for the less experience players here.
Remember to keep the slide over the fret itself. It doesn't go where your finger would go. And don't forget to try to keep the slide parallel with the fret. It'll be a bit tough at first, but just stick with it.
You'll want to raise your action a tad if you're guitar has a very low action.
I like to wear a slide on my ring finger. That gives me the ability to mute the strings with my index finger, stabilize the slide or play notes behind the slide with my middle finger, and play notes above the slide with my pinky.
If muting the strings is difficult with your left hand while trying to get sounds, palm mute the strings you're not playing with your right hand. I find this easiest with a Gibson style bridge setup. It's not as comfortable with a Strat, where left hand muting would be key. Also, if you're playing finger style without a pick, try using your right hand finger tips to must the unwanted strings.
I like metal slides on acoustic instruments, and glass slide on electrics. Except for my table and lap steel guitars. I like using a metal "Stevens" bar for those.
Now, with all this talk of slide, I'll have to dig one of these out.