First thing to do is to find something to play along with. A band, another player, a recording, a MIDI file - anything as long as it is in tune. Not a drum machine, because what we're doing is learning intonation. Guitarists have their intonation set with a tuner and a screwdriver, but if you play slide, you have to be like violinists and have intonation in your ears, and if you are like I was, your general tuning is for nothing.
(And I thought this didn't need to be said at first, but I think it's a crucial thing now: You are replacing your frets with one big movable fret, so if you're playing a note, you have to be right over the fret, not between the frets like you play normally. The fret is where the note is. Unless we're talking about the blue third and seven, which I get to below.)
You need to have a slide, but that is personal enough a decision that I won't start talking brass or glass or steel. Higher action is good, but this means higher than shredder low, not crazy high. I saw the Hellecaster Will Ray play chicken-pickin' country licks with bluesy slides with his stealth slide (tm), which you would normally expect with diametrically opposed action.
Also, there is the matter of the finger you put the slide on. Done use the middle finger, some the pinkie. I put my slide on my ring finger. Arguments exist for and against for each. Also more open is whether you play with fingerpicks, fingers or flatpicks. There are great players who play each way.
Another issue is muting behind the slide. If you don't mute, the slide will pick up weird overtones, which you might like.
Then there is the matter of tuning. Some play slide in standard tuning, do they can go back and forth from slide to normal. Two common tunings are Open G or A (DGDGBD, or Spanish, after the tune "Spanish Fandango") and Open D or E (DADF#AD, or Sebasapol). For me, I find that G works best for acoustic solo blues, while D is more open to scales and is better for electric and band playing, but that might not work for you.
I saw an instructional video where Warren Haynes suggests that you try playing licks on different strings for different tones.
More later when I'm not on my phone.
Which is now. One of the things that slide guitar gets you is the ability to avoid standard intonation. When you're starting out, you're often told that the blue note is the flat five. It is a blue note, sure but it is not the only blue note. What we should get to is the blue third. Gussow is great, even guitarists can learn a lot about playing by watching his videos, but we as guitarists can get it by hitting the harmonic at the fourth fret of the sixth string and compare it the third and fourth frets on the first string, and you'll hear that it's neither. The blue third is the third under just intonation. (I have to thank Steve Kimock for this knowledge, but there's no video of him I can link to talking about this.) Another term to get into for this is microtonalism.
And there's a similar thing with the blue seventh, which isn't just the dominant 7th, but back a bit toward the sixth, but we've gone from tips and exercises for beginners to the deep weeds here.
Then there's vibrato. Why even start down the road toward slide if you're not going to use vibrato? But that's far enough away that it justifies it's own question.