Since not everyone in his mansion is a proxy (and therefore cannot teleport) Slenderman created special runes for them that allow them to teleport. They're not perfect, as they do have a cooldown time (the bigger the teleport, longer the cooldown) and they do use up your own energy (again, bigger the teleport, the more energy is used) but they're better than nothing.

(I used this in my Underpasta story... Spoilers? I think?)