Dropping Loads

You'll first find slot machines at Moxxi's on Sanctuary, although there are a few others around the game too.

Drops are random - so just keep playing until you get a live grenade drop.

The cost of each spin increases with your level, so its not necessarily beneficial to wait until late game to try this.   Although, there's a lot of cash to collect in the Handsome Jackpot DLC, so after doing that might be a good time.