I'm a bit confused. Do I need the kernel-headers pkg that comes with slackware installed even if I have a custom compiled kernel. Do I need to do any extra commands when compiling kernel to get a matching kernel and kernel-headers?

you only need the standard ( 2.4.x) header pkg that comes with Slackware.
if you upgrade that pkg, you ( might ) have prob's when compiling programs,
because glibc is compiled with those 2.4.x headers.

when you get the sources for a newer kernel ( 2.6.x ) , it comes with it's own headers,
which are only used to compile the kernel.

egag

The kernel-headers package that ships with most distros is only for compiling third party drivers or applications that need access to the kernel internals. If you have a custom kernel that you downloaded and compiled from source, then you have the headers needed to build drivers for that kernel. Most source builds that use these will usually look in /lib/modules/`uname -r`/source, which should be a link to the source tree for that kernel, although there are some packages that look in /usr/src/linux (which should be another link to your source tree).