The select all and then copy merged method works the best.
If you set up slices on a Photoshop document, it's probably because you're working something like an email and the slices need to remain so you don't have to re-slice every time you make an edit. The only problem is, it disables your ability to quickly save out a JPG/PNG mockup of the entire document. And unfortunately, there's no "save without slices" option in the Save for Web dialog.
The main reason you wouldn't want to do a "Save As" and go to JPG is because the workflow when saving several mockups becomes bogged down with options that require mouse clicks and navigation to save on them in the same place. Copy Merged has the advantage of swift keyboard shortcuts.
The reason you wouldn't want to clear slices is because you'd risk accidentally saving the file with the cleared slices and closing it before you realized what happened.