Building a "Dad Joke" SMS Slack Bot in Python involves setting up a development environment with Python, Flask, Twilio, and Slack APIs. The bot will send random Dad jokes to a Slack channel when @mentioned or receive messages from Slack via an outgoing webhook integration. To set up the bot, users need to create a Slack account, obtain a free Twilio account and phone number, and install necessary libraries using pip. They also need to export environment variables for their Slack and Twilio tokens, as well as configure the Flask app to interact with the Slack API and send SMS messages via Twilio. The final step involves integrating the bot with the Slack channel by setting up an outgoing webhook integration and testing the bot's functionality by @mentioning it in a message.