Everything went on pretty smoothly, until I tried to boot up my first slave using PXE. Then I got the error message on the console of the new virtual machine:
FATAL: Could not read from the boot medium! System halted.
It seemed that the new virtual machine didn't even try make a connection to the dhcpd -server running on master. In PXE -boot, first thing that the client does is getting ip -address from the dhcpd -server. But nothing happened.
After two or three hours of testing and checking configuration files, in a moment of desperation, I tried to change the type of the network card from "Intel PRO/1000 MT Desktop" to "PCnet-FAST III (Am79C973)" and everything started to work. Wicked.
Hopefully this will help someone :)
There seems to be a bug report for this already.