You can download that init script from the lm_sensors web site, it is not included with Slackware:
# wget http://www.lm-sensors.org/export/6070/lm-sensors/trunk/prog/init/lm_sensors.init -O /etc/rc.d/rc.lm_sensors
chmod +X /etc/rc.d/rc.lm_sensors
And then add these lines to your /etc/rc.d/rc.local script:
if [ -x /etc/rc.d/rc.lm_sensors ]; then
echo "Starting lm_sensors: /etc/rc.d/rc.lm_sensors start
If you ran sensors-detect it will have created a configuration file /etc/sysconfig/lm_sensors which is the configuration file for this init script.