Options Import/Export should handle your custom menus, but it will not handle custom macros. If you're trying to keep your work and home configs the same all the time, using a flash drive or other removable storage is the best way. You can store your config there and use it in both locations.
Your file history and the list of open files is stored in your workspace. Since you are working on two different coding projects, you should have different workspaces for them. If you were working on the same codebase, you would want to bring your workspace back and forth as well.
As previously noted, you can set the SLICKEDITCONFIG environment variable to specify the location of your config directory. You can also do that from the command line using the -sc option: "vs -sc e:\MyConfig". I use the second approach, editing the shortcut icon properties, but I have lots of different configurations.
If you're not trying to keep the two machines synchronized but just want to get your home machine setup to match your work machine initially, you can just copy your config directory from work and paste it into the default location on your home machine. Then you don't have to mess with the environment variable, -sc option, or an external drive. You can use options import/export to synchronize the two machines after you've made changes to your configuration.
As for managing your custom macros, we recommend that you create a directory in your config directory for this. On Windows, the default location for your config is "My Documents\My SlickEdit Config". Below that will be a subdirectory for each major version of SlickEdit that you've run: "15.0", "15.0.1", etc. Create a subdirectory called "MyMacros" or whatever you like and make it a peer of those version subdirectories. Then, everything that makes your instance of SlickEdit different from any other instance of SlickEdit is in a single directory tree. Be sure to back this up regularly and keep multiple previous versions. Some problems with SlickEdit are fixed by returning to a default config. Then you have to re-import your settings (which might reintroduce the problem). It's better to be able to fall back to an earlier config that didn't have the problem.
Do NOT store your own macros in the "macros" subdirectory of the SlickEdit installation. That just leads to complications.
There's some really good reading in the Appendix of the User Guide in "Configuration Directories and Files", if you want to learn more about where/how SlickEdit stores various information.