Ok, it was a long night, but finally I solved a problem that was bugging me for quite a while.
I love Kaffeine, it's a great player, but at one point, it stopped displaying subtitles. What's worst, I couldn't find how to load them from external file and well, I stopped using it.
Today, I finally found out how to deal with Kaffeine.
To load subtitles, following the instructions here:
Click on Playlist, right-click on the movie file you're displaying and in the context menu you'll find: Load subtitles.
Another serious problem is that the subtitles are ridiculously small. It was a real pain figuring that out, but with the help of link1 and link2, I managed it.
To change the size of the subtitles:
1. Open the file: /home/user/.kde4/share/apps/kaffeine/xine-config
2. Find the line saying subtitles.separate.subtitle_size: tiny
3. Uncomment that line (remove the #) if it is commented, and change "tiny" to whatever size you prefer (tiny small normal large very large huge). I tried with "large" and the subs became visibly big. So this one is working. You can also change the font from here, uncommenting the line: #subtitles.separate.font:sans but I didn't need to do that.
Well, that's it.
The mystery called subtitles in Kaffeine was solved. Weee!
P.S. If you need to replace some font of Xine, you can do it in the following directory: