emerge'd sbcl, then did "sbcl"; sbcl fails to start (can't find core file). Explictly specifying core file (i.e. "sbcl --core /usr/lib/sbcl/sbcl.core") works.
Will be fixed as sbcl is updated.
Additionally, it must be said that the env var SBCL_HOME must be set. As the package is installed, it's put into the system environment, so you may have to relogin to get the proper settings.
Try 0.8.1 and remember to reload your environment. If it still doesn't work, reopen this bug. (0.8.1 is only available in unstable for now, remember ACCEPT_KEYWORDS="~arch")