Best way is to your home neighbourhood and while outside of the home, you will see that you can click the handcuff icon. You can "process" your slaves. When you do that at home (outside) you get a prompt to sell them directly to some buyer for a certain price or you can add them to your home. If you sell, they are gone forever. If you add them to you home, you can then put them to work, train or sell them to the slave markets. Later in the game, you can also send them to other places.