In order to stream your Slingbox's feed from your phone to your Roku, you need the SlingPlayer for Roku as well as the SlingPlayer for iPhone. From your post, it sounds to me like you already have the SlingPlayer Applications you need for both the Roku and iPhone.
Here is an article that explains how to use those SlingPlayer Applications in unison to stream from you iPhone onto your Roku-connected TV:
Hope this clears thing up!
Sling Media Forum Moderation Team
Got it to work once after finally figuring out that you have to tap the very non descript icon on the right hand side of the volume bar on the iPhone. However, after going back to viewing SlingPlayer on the iPhone and then going back to selecting Roku, all I get is a "connecting...." message on the TV. I tried resetting the Roku. Same connecting message. This is getting frustratiing.