Ah, routed slots are made with a Region object. Set its property to "board cutout". Make sure the cutout appears on the Board Outline layer (usually Keep-Out) as well.
Check with your board house to see what minimum width and inside corner radius is reasonable. Usually the milling bit is 1mm, so a 1.1mm or larger slot is no problem. Smaller slots can be made (even between SOIC pins for minimum leakage), but they will probably add cost.
Tim