Well, I can't use Photoshop to save my life, so I firstly code the website, then add images I make on Fireworks or find under a GPL license. BP
Yeah, I never trust Photoshop to slice properly and write my code for me. I usually save each element of the design that I need individually. That allows me to optimize each image individually and save appropriate formats that give me the best file size. GIF images for >256 colors in the image, and JPEG for others. A lot of designers who are not familiar with coding often try to use Photoshop slicing to get around building pages themselves, but I definitely don't think using PSD slices is acceptable.