One of the things not clearly said in the Wiki is that when you set Xbee communication, you MUST define correctly the addresses of the modules, otherwise you'll not get right communication.
After, 8 hours of chatting, writing post forum and headache, I noticed this fact when I tried a range test of Xbee by using X-CTU tool by Digi. One module was in loopback (just connect the DDI to DDO on the planeboard of the Xbee, and, obviously, connect the 5V), and the other one was connected to the PC by using a Sparkfun USB expansion board.
The RSSI LED was ON only on the Xbee end, but that one on the PC was OFF. Thus the receiver end was receiving packets from the PC, not viceversa.
Then, I configured the addresses in X-CTU, precisely, in the following way:
DH = address SH of B
DL = address SL of B
DH = address SH of A
DL = address SL of A
One more thing: as descrived in the Wiki, let set the Network ID parameter to be the same for both modules.
I have XB08-DP as firmware, which support only one channel and no MY address.
I ran a range test and all was fine like a charm!
Same, when I attached the Xbee on the APM, switched in Flight Mode, opened up a GCS and saw only data come from the copter.
Remember also to try lower serial data rate if the higher ones do not work. In my settings I tried 57600 as baudrate.