If you click on their name while in the same room with them (not talking to them, but clicking their name on the Characters Present bar on the far right), below their inventory there will be a button with a page with a right arrow. Clicking on it will instantly import them to data/characters. This process works with all characters in the game, including story NPCs.
From here, you can either use the "import as PC in dummy save -> debug menu alterations -> export again -> re-import as slave" method that you outlined, or you can skip this whole process and instead open your save file with a text editor and manually edit what you need.
Perhaps the better question is: what do you need to use the debug menu for specifically, assuming that crafting transformation potions won't be good enough? I think the only races not accessible through game items are angels and elementals, and everything else can be achieved through TF potions (for half-demons/full demons you can spawn in Innoxia's Gifts and have them drink it).