On a slackware system, modules are loaded from /etc/rc.d/rc.modules, with the exception of the increasing number which are loaded by udev. /etc/modules.d or /etc/modules.conf are for setting options or aliases for modules.
To configure a sound card, use "alsaconf". You do not need to edit any files.
There is no Slackware 12.2 alsa, there is just alsa.
The "old ways" of doing things often no longer apply in the modern world. This has nothing to do with Slackware, it has to do with the evolution of the linux kernel and systems such as udev.
However, reading the documentation is still a useful thing to do.