Well, I could not choose my locale when installing, so they were en_US and en_US.UTF-8. I think this is pretty standard in GNU+Linux systems.
I tried to generate the locale following the link you mentioned but I got a "file not found error" for Spanish. My locales are now en_GB and en_GB.UTF-8 and en_US and en_US.UTF-8 now. Those compiled properly.
I changed the KDE system settings locale to Spain Spanish, but still it doesn't solve it. It just opens all the software menus in Spanish now
For the locale-gen script or command, I also got error messages. It seems the liveDVD did not install Spanish support despite the fact I clicked on "full language support" when installing. (I am wondering if that caused this situation now, and if I found my first bug
I also rebooted the computer from the LiveDVD I used to install Sabayon, I did not change the keyboard layout so that it could boot with a US keyboard layout. Once in, I used the flag icon to add the Spanish keyboard layout. It worked. QT applications and KDE itself displayed the tildes and dieresis correctly, even at the command window (alt+F2).
So I guess something went wrong with my installation. If there are no more options to try (or ideas), I will reformat the computer tomorrow as close as the liveDVD as possible and then add the language. It should work.
Ideally, I would like to have a en_GB locale with a full support of the Spanish keyword.