You can use many different objects for a slide including: bottle necks, knives, various tubes of metal and glass, even spark plug sockets! Or you can buy ready made slides from a shop or store which is probably the easiest way to get going on it.
When you have the basics down you can experiment with different slides to get different sounds. Glass slides tend to be smoother than metal ones which are great for a bit more attack. experimentation is the key here. Don't be afraid to try anything.
I recommend go for the small pinky finger which leaves the other three free for chording. Some players use the slide on the 3rd finger but this doesn't help chording at all. So start off with the pinky and stick with it. When you get used to the technique you can experiment with using the 3rd or whichever one you fancy.
Obtain a Clean Sound
To obtain a clean sound, use the fingers on the left hand behind the slide to dampen any notes you are not playing. Also a bit of right hand damping can be used here. But sometimes the extra noise can be used for effect - makes it sound old and "authentic".
Use the heaviest gauge you can cope with (remember you might have to make chords and bends as well as sliding - take that into account). Try 12s on an electric and 13s and up on an acoustic.
... and Action!
Adjust your action (string height) to as high as you can go taking once more into account that you might need to chord and bend. As a rule the heavier the string and higher the action the more slide tone you get, but the harder it is to play other stuff without the slide. Base your decision on what type of music you need to play.
Suitable Slide Guitar Types and Styles
Remember you can use slide sounds to great effect on any type of music not just Blues - it's a very melodic approach and takes you into note territories which you mightn't otherwise discover. You can use slide guitar on electric and acoustic guitars, sounds great on either. Add to your skills, it's well worth it and doesn't take long to get into.
A porch with late night cricket sounds and rocking chair is optional :).