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In my experience you need to be shipping quite a lot of steel before enough slag is being produced to make a line for it economically viable (with trains at least).
To produce a lot of Steel, and thus generate a lot of Slag, you need to be shipping to Goods Factories, and Machinery Factories (Tools and Machines). Since you need to also transport it away, you're going to need twice the capacity of Steel transport (Stake cars in the case of trains), as you will Slag (Gondolas). If you can send an Iron Ore/Coal train to a Construction Materials Plant after it drops off it's Iron Ore or Coal, that's the optimum setup, even better if the ConMat plant is nearby either the Coal Mine or Iron Ore.
I've not had problems producing Slag, but it requires you to have a lot of demand for Steel, for it to produce the excess Steel.
Europe Campaign Mission 3 is a great example of this. You export Steel in exchange for Food, and you can get a decent production of Slag by optimizing the export of it.