I have found that Print Selection... does a much better job at creating multiple-page PDF's than Save Selection As...
In version 9 I have not been able to get useful multiple-page PDF's with Save Selection As... I think Exporting to a PDF file does not help here either, but I have gotten good results with printing to a PDF. This may have been fixed in version 10.
I have not tried slides, just large outputs (say about 15 graphs, each taking a landscape page in a PDF). It normally results in fairly large PDF's (~ 50 M).
Best,
OL.