If switching to LuaLaTeX is something you're considering doing anyway, then you'll find that using a "slashed zero" is very straightforward: it's a simple option provided by the command \setmainfont
(and \setsansfont
) of the fontspec package.

% !TEX TS-program = lualatex
\documentclass{article}
\usepackage{fontspec}
\setmainfont[Numbers=SlashedZero]{Minion Pro}
\setsansfont[Numbers=SlashedZero]{Myriad Pro}
\begin{document}
Minion Pro: 1001 007
\sffamily
Myriad Pro: 1001 007
\end{document}
This program can be run under XeLaTeX as well. Incidentally, do note that the slashed zeros in the example above are being produced in text mode. There is apparently no such thing as a unicode-compliant slashed zero in math mode.
Aside: The most recent version -- released within just the past few days -- of the luaotfload
package (which is loaded by fontspec
) contains at least one serious bug that makes it crash with a cryptic and fairly useless error message. If you have TeXLive2013 on your system -- sorry, I don't have MikTeX and thus don't know what MikTeX users should do -- and you've recently run the TeXLive Manager program to update your distribution's packages, you can revert to the previous version of luaotfload
by executing the command
sudo tlmgr restore luaotfload 31286
at a command prompt. Hopefully, a bug fix for this important package will be pushed to the CTAN soon.