Thanks Nick. I don't know which object should I send that message (how
plays the role of "app" in a default pier One Click Experience setup).

in the one click you should be able to get the 'app' through:

WADispatcher default handlerAt: 'pier'

you can navigate to localhost:8080/config click on the pier app and in the 'General' section click on the 'Override' button for the 'Use Cookies' entry the 'apply' button as the bottom of the configuration.

I'm
also taking a look at:

http://onsmalltalk.com/clean-urls-in-seaside

it seems to work also with the _k part, but just trying to override the
messages in methods in Pier gives some error messages. Is Ramon's approach
usable at Pier?

I think pier already contains much of what Ramon's post discusses; once you enable cookies (it's easier to do than to write about)