Are any of these modules built into the Slackware kernel?
Just have a look ! Run this
zcat proc/config.gz > ~/myconfig
to get a copy of the running kernel to ~/myconfig. Then edit ~/myconfig and search for IPT to get to the iptables bits.
I've never needed any additional modules with my experience with iptables - but that's not extensive.
I've had a look at a firewall script generated from EFG and note it says this :
# Unless you have kernel module auto-loading disabled, you should not
# need to manually load each of these modules. Other than ip_tables,
# ip_conntrack, and some of the optional modules, I've left these
# commented by default. Uncomment if you have any problems or if
# you have disabled module autoload. Note that some modules must
# be loaded by another kernel module.
As stated I believe that an error will be generated if functionality is used that either isn't in the kernel or a module doesn't exist.
Mind you, looking at the .config from the generic kernel seems to have everything relevant built so I'm sure this won't be a problem.