Wear it on your pinky or ring (I prefer the ring), and keep all the fingers of your fretting hand together (as if you were holding a ham sandwich) and align the slide to the actual fret rather than above the fret.

I stole this from a hockey card, I keep tucked up under...

I mean, I stole this from a Dunlop slide package (except for the ham sandwich part, that was my idea!). I have a slide, too, and use it pretty sparingly/unconventionally, although I would totally love to be able to play it like Duane Allman or the like.