Sometimes (especially if you are not also replacing/rebuilding the master cylinder) it can be difficult to bleed the clutch system. Try this: before removing the slave cylinder put a piece of plastic wrap on the clutch fluid reservoir and put the cap back on over it. That will not allow any air to get in and limit how much fluid will be lost by gravity when you remove the slave & flex hose. (definately replace the flex hose when you replace the slave cylinder) My reasoning is to prevent the master from draining down and getting air inside. Air in the master cylinder isn't the end of the world but it might make subsequent bleeding more difficult.
Then, when you install the new slave, remove the plastic wrap, fill the reservoir with fresh fluid and start bleeding. Don't let the reservoir run dry - keep refilling it when it's almost empty. Pump a whole lotta fluid through until you are sure only clean, fresh fluid is coming out. (Same technique for the brake system.)
BTW, make sure the bleed screw is 'up' - at the 12 o'clock position to ensure you get all the air out of the slave cylinder.