Maybe this helps with Beccas option 2:
I have just added a complete demo project for continuous mouse and key presses in my demo post here: PsychoPy Online Demos - #8 by Luke
(Gitlab Luke Boelling / continuousMouseAndKeyPressesDemo · GitLab)
In the last routine of the project I demonstrate how to move a ball left and right. This can easily be adapted for your slider code (looks very similar to your current code)
The main idea:
Add a keyboard component with options: all keys and non routine ending. This keyboard component keeps track of all presses and releases. Like Becca said: monitoring which Button has no duration (mean: was not yet released) is easy with a few lines of code.