I always look at the slag furnace, consider it, and pass. It just doesn't seem worth it to me to blow through all that extra fuel for a few more ingots. When I think about it though, it probably would speed things up a wee bit, if only to get more iron pickaxes so I can get the stuff I really want, namely gold and redstone for my first pulverizer.
I almost always dig for a few hours when I start a map: One thing I always make sure to do in the first hour or two is make stairs. Stairs may be the single most underrated way to save precious food in the very early game.