If you're going to be doing much of this, look into unionfs. It will save you some disk space - you only need room for the original iso and your changes. jiml8's method is more standard, but you will need twice the disk space (to store the original iso, and again to store you modified copy). Slax is so small that this disk space is negligable, so the real reason to use unionfs is because it's cool!
I have a base slax directory: /var/slax506kb-standard
Changes I make to it are stored here: /var/slax506kb-patches
And the final result (where I burn from, and write to) is here: /var/slax
I never write directly to the -standard or -patches directory, all writes, deletes, etc. are to /var/slax. They automatically go to the -patches directory. The -standard directory remains virgin slax. This is all after I run the unionfs mount command:
mount -t unionfs -o dirs=/var/slax506kb-patches:/var/slax506kb-standard=ro none /var/slax
The above description probably makes zero sense unless you know what unionfs is, and what it can do. Check unionfs capabilities out here: http://www.linuxjournal.com/article/7714
If you like it, download from here: http://www.fsl.cs.sunysb.edu/project-unionfs.html
Slax itself uses unionfs, as does Knoppix, Kanotix, and probably most LiveCD distros these days.