How is this done?

I tried to add wmaker to the sessions in /etc/slim.conf but that was not enough.

You also have to edit the .xinitrc file too. I have:

case $1 in
icewm)
exec icewm
;;

openbox)
exec openbox-session
;;

fvwm-crystal)
exec fvwm-crystal
;;

lxsession)
exec lxsession
;;

fluxbox)
exec startfluxbox
;;
*)
exec startfluxbox
;;
esac

I don't know for window maker but I guess you add

windowmaker)
exec wmaker
;;

hmm, I have xinitrc as shown here and fixed slim.conf, but I still get the wm last installed as default
it seems, no way to change that.