Mostly not slang:
Penny     probably from an old word meaning a piece of cloth
          it's been in the language as a coin name since before 
          the beginning

Nickel    As you suspected, from the metal

Dime      It means one-tenth, from Latin decimus

Slang:

Fin       Five dollar bill, from Yiddish finf, five.

Sawbuck   From the Roman numeral X, the shape of a sawbuck or sawhorse.