It is very difficult with most loading set-ups. The 6- or 8-point crimps simply dont allow a roll crimp found on Foster and Brenneke type slugs. About all I can do with my standard MEC presses is load a soft lead cast slug into a wad specially designed for them. The wad looks very much like a regular shot cup wad but it's not interchangeable . Then star crimp over the top. The slugs I have look very much like a HUGE .177-cal air rifle pellet and weigh about 1-oz.
Of course, this type slug never touches the bore and never gets any spin at all so effective ranges are kept to about 50-yards before the slug sorta "knuckleballs" in flight.
I hear that there are ways to roll-crimp a new hull designed for slugs, and use an entirely different base wad, and a lead slug that matches the bore and not the inside of the wad, but the process is tedious and there are many imperfect rejects.
I feel that at this point the cost of components alone makes buying factory slug ammo the only smart option.