Enable the margins, then you can drag guides down onto the image - then use the create splice tool in the float menu to create splices (using the guides as... well a guide - its also useful to have snapto enabled). Once you have created a splice it will appear with a different color border and a unique number (so you can identify each splice you've created), you can then right click and give it a specific name (which obviously makes things easier when you export it). Finally once you have created all slices simply file > save for web - you can then specific the file types for each slice and then save. A folder is then created in a specific location containing all your splices.