The act - of which to insult, make fun of, or make something along the lines of a negative comment - that is done in secret (hense sly) and as casually as possible, acting as if they are not directing it at the person in question, but actaully are. But not as secret as to the person in question does not see it/hear it, as if they do and they know that it was directed at them due to recent events, they announce it as a sly dig.
(just after Steve has been whining about not being able to get a girlfriend) Dereck: "I really hate people who complain about being single". - this being the sly dig
when you say something obviously directed toward someone without actually saying their names.
Sly dig-er: "Going on "Emptees" and purchasing T shirt designs and putting them on shirts doesnt I'll repeat doesn't make you a clothing company."