Hi,
I am not an expert in Flash, so there maybe are better ways to do, but I do it that way:
I reduce the button-image to one layer and then copy it to a new PS-file, that has just the dimensions of the button. This I save with the "save for web" feature either as jpeg or as png (I love png

). Then I go to Flash and import the jpeg (png) into the library. There you can optimize it with double-clicking on it. Then draw an instant of the file to your canvas and convert it in a button.
This button can then be edited for the different states (up, over, down) in double clicking on it.
I hope, this makes sense to you, if not I will give a more detailed description, just tell me

As for slices, so I have no experience with them, but surely someone else can help you with that.
Hanarky