Securing your slice with FireHOL is a really, really good move. Here are a few notes that may save you some time:

FireHOL requires a kernel config to know which modules to load, SliceHost uses Xen, so to get the kernel configuration in the right place, execute the following commands:

/proc/config.gz ~ && cd ~

gunzip config.gz && mv config /boot/config-`uname -r`

FireHOL ships with a safety net configured in /etc/defaults/firehol. It will not start until you edit this file and change this:

START_FIREHOL=NO

to this:

START_FIREHOL=YES

That should do it for gotchas. Now you can lock down your machine to assure you’re only serving what you expect. Fore more on configuring FireHOL, check out their online tutorial