Thanks for your answers!
But, uhh, the sijama's link doesn't seem to point to anything related to APE files (it's a page about mailing lists)...
And, Cerberus, well, I can convert the APE to WAV (I've done that using Monkey's Audio) and then go to the hole process of spliting and converting to mp3 and finnaly renaming all the files one by one. By that will take months!
WHat I don't understand is the purpose of the CUE files or the APL files. They have all the info I need to split the APE or WAV giving good names to the final files. There should be a tool that can make the transform in one step