I followed the instructions here: http://crazytoon.com/2007/07/23/mysql-changing-runtime-variables-with-out-restarting-mysql-server/ but that seems to only set the threshold
Try SET GLOBAL slow_query_log = 'ON'; and perhaps FLUSH LOGS;
This assumes you are using MySQL 5.1 or later. If you are using an earlier version, you'll need to restart the server. This is documented in the MySQL Manual. You can configure the log either in the config file or on the command line.