I don't quite get it. What is there to panic? Even before you have entered your trade you should have put your stop loss. You know up front how much you are willing to lose. And you are totally fine with the possible loss.

If there is slippage, yes, you may lose a little bit more than planned. But what's the alternative?

How can "sneaking out slowly" be a better option? Say there is a violent move that continues in the opposite direction with respect to your trade for days seemingly without end.

Setting a stop lose immediately is the only option.

Some people say, having a stop loss in your mind (an idea where you are going to exit), enough. No it isn't if you ask me. Precisely because shit scenarios happen.