How do I create a slide show in iPhoto from an iCloud photo stream

Do you mean from a Shared Stream or My Photo Stream?

In iPhoto on your iPhone, iPad you create slideshow projects by selecting photos and then sharing them as a new slideshow. http://help.apple.com/iphoto/iphone/2.0/?handbuch#blnkbc26e276

You can publish your slideshow in iCloud: http://support.apple.com/kb/PH2333

In iPhoto on your Mac you can make an instant slideshow by selecting the photos in the photo stream and pressing the slideshow button, see: http://support.apple.com/kb/PH2333