If you use MarsEdit for posting to WordPress a good solution for customizing your slug is with the Slugger Plugin.

UPDATE: This happened to be a test post, and waddayaknow: it worked like a charm.

UPDATE 2: Somehow I completely overlooked the slug field in MarsEdit. Just go to “View” and select “Slug Field”. It shows up right underneath the title field. (Thanks to Josh and Chris for pointing it out.)