Can I import AI files into Photoshop to export it into slices for coding? Also would the AI file change into a psd or what?
You can import into photoshop and keep it vector but when you 'save for web' it will be bitmap. However, your original file will still be vector or have vector elements which could be better in the long run because the elements won't lose quality if edited.
When importing the AI into photoshop it does not convert it to a PSD (so you do not get all of the layers separate). If you want to slice the AI in Photoshop, that can be done (you can always copy and paste the AI file into a fresh new PSD file)