Watch the Material online guitar lesson by BJ Baartmans from Creative Slide Guidebook
First, I've got to talk a bit about the slide. I'm using a regular glass slide made by Dunlop, that fits really well on my pinky and I don't have to squeeze it with my other fingers. It doesn't fall off when I have my hand downwards, and even though it's light, it still has enough mass to give me a nice fat tone.
Many of my favorite slide players like Ry Cooder and Sonny Landreth use glass slides, but there's no rule to it. Different materials for slides like brass, steel, or ceramic give you different tones. It's a very personal choice depending on what you like to hear, but also a practical one, and if you want to be really versatile with a slide, glass is a great choice.
The reason I have it on my pinky and not on any other finger, like some great players like Derek Trucks or Bonnie Raitt do, is because it's crucial for my playing style. It gives me way more choice in playing chords and I can easily use my other fingers for playing riffs "behind the slide".