When you do a build, note the 'vsbuild' command that is executed. Copy and paste that to an xterm outside of SlickEdit. When you want to rebuild during a debugging session, do the build in this manner, outside of SlickEdit. Remember to remove the -signal argument.
Feel free to experiment and let us know how it goes. If you know of any documentation of this feature w/ GDB, I'd like to know about it. Especially w.r.t. doing this under the GDB/MI interface. It seems like this isn't exactly mainstream GDB at this point, it is not mentioned in the docs as far as I could see.