You can do it either way, actually. Slipping the first stitch instead of knitting it as usual results in a nicer-looking edge, especially when you knit in stockinette. At least, that's the way it seems to work for me. But remember, if you're knitting in a pattern (for instance, k2 p2 ribbing) you count the slipped stitch as the first stitch in the pattern instead of skipping it and starting the pattern after it. If that didn't make sense, tell me and I'll try to elaborate.