Can you post a link to your site? Chances are you are just missing a simple step. I'll be able to tell more by visiting your site.

Mike, you can view the website at http://www.sillycyclists.co.uk

I've only moved over two posts into the portfolio section, episode 41 and 42. Both of those are marked as featured

Looks like you have no portfolio posts:
http://www.sillycyclists.co.uk/portfolio-post/

See:
http://primero.progressionstudios.com/portfolio-post/

This is what gets pulled into the slider. Please review the documentation again as it should be easy :-). Make sure you use portfolio posts and not regular blog posts.

I've got the content in the portfolio post section. It appears in the latest videos, but if you click on it there, episode 41 takes you to the actual post of it (named the same so it gets re-directed to the content I already had?). I've changed 42's slug so it is different to that of the original post. This now does not work.

I've checked the Portfolio Types, I only have one, 'featured' but its slug is 'featured-2'. Could that be an issue?
I've tried editing that slug and creating a new type to have the slug featured, but I can not. I get the following error 'The slug “featured” is already in use by another term'.

I've added another featured post, this time with a featured image, again this appears in the latest videos, but does not appear in a slider, if you view the post, again it throws a 404 as if the page does not exist.

Yeah, the slug is the issue. Change the slug to 'featured' and that will fix it :-)

If you get 404's, just turn permalinks off and then back on. Sometimes WordPress gets confused when using permalinks and you have to rewrite them.

I get the following error when trying to that. 'The slug “featured” is already in use by another term' :/

Is there an easy way to fix this?

You might have a "featured" type in your trash. (I forget if you can trash types or they just get deleted automatically). Is this a fresh installation?

You shouldn't be getting 404 page errors or any other issues like that. Also, it should be clear if you have another type that is featured. Try disabling any 3rd party plugins for the time being just to ensure they are not effecting the theme.

Go ahead and private message me or e-mail me a login. I'll jump in and help you trouble-shoot. This might be easier than sending you back/forth. Contact form:
http://themeforest.net/user/ProgressionStudios#from

Mike, thanks for the offer, but i've actually fixed it :D

As it wasn't a clean install, I had a featured post category (didn't know) which was conflicting with it. So I renamed that and everything is working fine now.

Thanks for your help.

Awesome, glad it got sorted out.