If you want all the images in one scene (such as when you want both a crossfade and motion) You need to duplicate the first slide and move it to the end, then duplicate the last and move it to the start. Set up the right button to continue the timeline and the left button to continue in reverse.
Lets say you have 4 slides and are on slide 4. When you click on the right arrow, it does a transition from slide 4 to slide 1A. When the transition is complete, it hits a timeline action that instantly jumps to slide one and pauses. If you are on slide 1 and hit the left arrow, it transitions from slide 1 to slide 4A, then hits a timeline action that sends it to slide 4 and pauses.
It is possible to dispense with the duplicate slides and simply put the slides in separate scenes, but this would limit the selection of transitions to one type versus two (such as moving horizontally while doing a cross fade) and it affects everything, including the transition of captions.
One thing that I often do is create mini slide shows for showing off detail shots of a product. The photos simply move in and out horizontally. Under each slide is a caption that crossfades without motion. Navigation is handled by small white triangles floating over the slide. I group the slides and captions, then resize the group to the size of the slide and the text, with overflow hidden. I will then float this on the web page over a large beauty shot.
For outboard arrows, just group the slides and adjust the group size to the precise size of the slide with overflow hidden, put the arrows outside the photos (along with captions, if any) then group the whole lot. In the following example, I have only three slides and one arrow, but it demonstrates the process. For added coolness, I created a rectangle in back with a drop shadow and added a white stroke to the slide group. For this breakpoint I put the caption at the left. For other breakpoints the caption is below the slide show.