my cousin got me an allen sling from wal-mart that is suppost to hold 4 large shells. I took the thread from between each of the two holders and now I can carry two 10 round mag's for my .22 viper. its really nice, and it matches the all black look of my rifle. Its also gripy rubber, and really soft padded.
Most of the "slings" they sell at Wal-Mart would be more accurately described as carrying straps. Granted, you could use one as a hasty sling if you needed to. I'm old fashioned as well, and I prefer thick leather military-style slings. I'd even accept those 3-point attachment type slings (the ones where there's an extra attachment in front of the magazine). I actually use them as full-on shooting slings when I'm not shooting offhand. For the typical cheap Wal-Mart straps, I always try to adjust them how I can use them as some kind of shooting aid.
I agree about the nylon ones sliding around too much. I like the fact that the leather ones "grip" better. Something for everybody, though.