recently there has been a change in the way it's done. I don't know what version you're playing, but here are two ways. Check the other if one doesn't work.
1) In slightly older versions you would go to their interaction screen, and there would be a button for changing their gear.
2) I'm not 100% sure if it's been done to the public build yet, hence my mentioning the first option, but in more up to date versions you equip items in the inventory screen. You would open it, click through the tabs to sort the items, and click on the slave you want to use it on. Some options will show up, allowing you to use/equip the item.