Those are really the most usual ways of protecting your slann.
1. HSoC + dragonbane gem and maybe a bit more magic resist makes him a really tough nut to crack, as most artillery can't wound him, or grants him a 2+ ward save. Magic is also pretty difficult to kill him with, unless they go for no-save spells, and really, if they 6-dice something to kill your slann, nothing is going to stop them anyway. It also allows for effective tarpitting against some units, particularly with a War Banner, and maybe transcendant healing.
2. Is a more mobile platform, that still grants a lot of protection without being ridiculously expensive if your miscast kills half of the unit.
3. Is a fortress that ensures nothing will get to your slann - auto-look out sir is super effective against artillery and shooting, and they work extremely well as a stubborn, high Ld, high S, great AS block of death. they are a very strong hammer, or if you take something like a life slann, an anvil the enemy will bash it's head against in vain - Potentially 4+ regen save on top of a decent armour save, and T8, they are ridiculously hard to kill, even for stuff like White lions or swordmasters. Tap on a razor banner, and with s5, even chaos warriors will be afraid of them. They make miscasts very painful though, as these guys are very expensive.