It's a touchy thing, but if you don't know the vehicle enough, neutral is the best approach. Getting to know how your vehicle reacts in slick conditions is key to avoiding trouble.
If you know how to, you can actually power out of a slide, but if you over do it, you just made things twice as bad as they were to begin with, same with hitting the brakes, if done right you can effectively stop out of a slide. Hell, depending on your position slamming it in reverse is the best course of action. Like I said, it is all in knowing your vehicle.