Just print the last output to a string:
(princ-to-string *)
To expand a bit: SLIME implements something like presentations, which were introduced by Symbolics for its Dynamic Windows user interface. Presentations of Lisp objects can be in various forms: textual and graphical. They always remember the original objects - which makes them clickable/active. With Dynamic Windows you could also select a textual presentation and copy the output as a text to the editor killring. I would guess that SLIME/Emacs can do something similar.