Yes, that is certainly possible. Use the same kernel version as on the installation CDs, and grab the kernel configuration from kernels/bare.i/config:
cp /cdrom/kernels/bare.i/config /usr/src/linux/.config
Make your changes in the kernel configuration. If there aren't too many changes (like adding support for a disk controller) you can use the existing modules in Slackware. After that, you can copy arch/i386/bzImage (the compiled kernel) to the CD image you are creating as, e.g.:
You should then edit isolinux/isolinux.cfg on the distribution media, to add a line for your new kernel. You can use the existing lines as an example, e.g.:
append initrd=initrd.img load_ramdisk=1 prompt_ramdisk=0 ramdisk_size=6464 rw root=/dev/ram SLACK_KERNEL=custom.i
During the installation you will be able to select this kernel.
I have done this quite many times, and it always works as a charm for me.