A slip technically is any time you aren't in co-ordinated flight. Knife edge flight and flat "skidding" turns are both types of slip, though that doesn't help in this case.

I find it easier to do a normal turn, then line up on final, then apply rudder and some opposite aileron. If you do it right, the plane continues in the direction you started, but the nose is pointed to the side, and the plane is banked in the opposite direction.

Doing the slip in a turn as described above is pretty cool, and the plane can really come down in a hurry that way.

In a cross-wind, you use the slip to point the nose in line with the runway. You basically use the rudder to point the nose, and the ailerons to keep the plane from drifting sideways. This works out to rudder WITH the wind and ailerons into the wind. So if the wind is coming from the airplane's right, you use LEFT rudder and right aileron. The plane will be in a right bank, wings banked into the wind, but not actually turning.

Note that you're going to holding the rudder and aileron the whole time you're slipping, it's not like a turn where you center the controls.

Exiting the slip is best done slowly. If you release the rudder quickly before you release the ailerons, you set up a perfect snaproll situation, so ease into and out of any slip.