What kind of steel is the slide? What finish is on there now? I would not remove the existing finish, and leave it unfinished, if it's carbon steel as it will be prone to rust.
I would only polish it if it is stainless steel. To do that, depending on what's on there now, you may have to abrasive blast it to remove the existing finish with as fine an abrasive as will do the job. Then, depending on what finish you want, you can either go for a matt finish or buff it to shine.