As a user, I hate running into limits after I've invested time. For example, say I've uploaded 50 pictures thinking I can make a slide show with all 50 pictures. If there is a limit of 10 slides, and I don't discover this limit until I go to add the 10th or 11th slide, I'm gonna be unhappy. So, my first suggestion is to indicate from the beginning what the upper limit is. (Note that if the upper limit is merely to prevent the ridiculous, such as 1000 or 10000 slides, this doesn't apply.)
As far as how to indicate when they've reached the limit and prevent them adding more, I think changing or graying out the links is acceptable. The most important part is to make them no longer look like they're clickable.
For buttons, this usually means the text is grey and the beveling is removed so it looks flat.
For links, this means changing the color (grey is a good choice for most color schemes) and removing the underline. Make sure the mouseover color is the same as the non-mouseover color, and that the cursor doesn't change to a finger. You can achieve this by replacing the link with plain text, or by modifying the styling for the link.
As for having a "Delete" link, I agree that you should add one. I would also recommend some method to reorder slides. They could be drag-and-drop, or have up- and down-arrow buttoms.
