Open the "Inspector" window, go to the second tab, "Slide" (at the top), and click "Transition" -- leave that window open and click through or select the slides you want to change. Once you select the transition for each slide, it's set.
The one problem I've found in using Keynote for worship is it's inability (unless they just changed it in iWork 0

to show the "presenter" view with more than the current and next slides -- so if your song has 8 slides, the only way to go around is back and forth. I love it for presentations and meetings though with a static timeline!