Try this:
class JProxySlider extends JSlider
    implements ChangeListener {

  JProxySlider() {
    setToolTipText(this.getValue()+"");
    this.addChangeListener(this);
  }

  public void stateChanged(ChangeEvent e) {
    // update the tooltip to current slider value
    setToolTipText(this.getValue()+"");
  }

  // overridden, so that the tooltip follows the mouse position
  public Point getToolTipLocation(MouseEvent event) {
      return new Point(event.getX() + 15, event.getY());
  }
}

BTW, what makes you want to use tooltips to display the current slider
value?
Why not doing it more conventional?, i.e. by using the JSlider-API to
draw ticks/labels permanently. For example:
        this.setPaintLabels(true);
        this.setMajorTickSpacing(20);
        this.setMinorTickSpacing(5);
        this.setPaintTicks(true);

All you need is to overright
public String getToolTipText(MouseEvent event) {
        return "" + getValue();
    }
of JComponent and call setToolTipText in a constructor.

import java.awt.BorderLayout;
import java.awt.event.MouseEvent;

import javax.swing.JFrame;
import javax.swing.JSlider;

class JProxySlider extends JSlider {
    JProxySlider() {
        super(5, 25);
        setToolTipText(this.getValue() + "");
    }

    public String getToolTipText(MouseEvent event) {
        return "" + getValue();
    }

    public static void main(String agrs[]) {
        JFrame f = new JFrame();
        f.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        f.getContentPane().add(new JProxySlider(), BorderLayout.CENTER);
        f.getContentPane().add(new JProxySlider(), BorderLayout.NORTH);
        f.getContentPane().add(new JProxySlider(), BorderLayout.SOUTH);
        f.setLocationRelativeTo(null);
        f.pack();
        f.setVisible(true);
    }
}