How do you create compiled macros in SLC?

You should be able to compile your macro in SLC using code of the form:

libname maclib 'D:\sasmacro1';
options mstored sasmstore=maclib;
%macro slc_compiled_macro (a,b) /store ;
put "Hello from slc_compiled_macro";
%mend slc_compiled_macro;

This should create a SASMACRO.wpccat file in the directory d:\sasmacro1 or append to an existing one.

Once this is done you can autocall the compiled macro using a script of the form:-

libname maclib 'D:\sasmacro1';
options mstored sasmstore=maclib;
%slc_compiled_macro;