Once the neutrons slow down, they go back into Uranium and fission probability increases considerably. Heat is then transferred from the core of the reactor to the water and then induces steam. Sometimes a neutron and proton will combine and produce a deuteron and therefore that neutron is now lost. Companies use heavy water in order to alleviate this dilemma. Some neutrons are captured directly by 235U or 238U and gamma rays are emitted.
Some neutrons simply escape form the core altogether.
These are considered fast neutrons. These fast neutrons have the ability to produce a fission reaction with 238U to produce heat and more neutrons. 239U could also be produced if 238U were to capture a slow neutron. The product rapidly decays into 239Pu. Control rods absorbs neutrons in order to keep the number of neutrons, and therefore, the reactions are controlled.