For me, learning slide was easier in an open tuning such as G or E. I worked on easy songs like Little Red Rooster or Walking blues (both in G) or No Expectations and You Got the Silver (both in E). I like the action high for slide and I prefer a metal slide. Start off only playing on one or two strings to get the feel down. Try the slide on your ring finger to see if you have any more control and you can brace it with both your middle finger and your pinky. Remember to stay atop the fret bars and slide into place (duh). If all else fails, there's a nice homespun dvd/tape by Roy Rogers that teaches some slide techniques. Good luck and keep trying! And, not to ruffle any feathers, but remember that Bobby learned slide on stage and was incredible poor at it for many years!
"The only funeral you should ever try to interrupt is your own, and that should be a full-time job." -Kinky Friedman