What pigment should I use to color the slate before carving?

Sometimes use a spray clear lacquer but it gives off smelly fumes so you need to have extraction in place

Use a clear semigloss.
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Pre coating is very much personal preference personally I use a satin black acrylic spray paint, this not only darkens the surface but it allows the laser to create deeper / brighter shades of grayscale which allows for greater detail on your final engraving.
Sealing / clearcoat is optional but I have found that it dulls the images down so I choose not to seal, if you are engraving slate correctly then the laser energy has changed the molecular structure of the stone and the image is permanent in the stone and needs no further protection.