Once you have the basic no-frills setup working, you can enhance your SLIME installation with bundled extensions:
;; Setup load-path, autoloads and your lisp system (add-to-list 'load-path "~/dir/to/cloned/slime") (require 'slime-autoloads) ;; Also setup the slime-fancy contrib (add-to-list 'slime-contribs 'slime-fancy)
See see Loading Contribs for more information on SLIME's contrib system.
To customize a particular binding in one of SLIME's keymaps, you can add one of the following to your init file:
(add-hook 'slime-load-hook #'(lambda () (define-key slime-prefix-map (kbd "M-h") 'slime-documentation-lookup)))
(eval-after-load 'slime `(define-key slime-prefix-map (kbd "M-h") 'slime-documentation-lookup))
The former technique works only for SLIME's core keymaps, not it's contribs'. For those you can use the latter form which works for any Emacs library. See also see Customization for more advanced configuration options.