That's correct about changing your window manager. But the question was actually how to change the display manager.

Here's the answer (for Slackware):

Edit /etc/inittab somewhere towards the start of the file you will find a description of the default runlevels. The default is 3 which does not use a graphical login. You need to change the default to 4 to use a display manager. Save your changes.

Next file you'll want to open is /etc/rc.d/rc.4 ,this file check for the presence of and executes the display manager. Best way to go about editing this is just comment out the lines that don't apply to the one you want to use. Save and exit.

That's it.