I found the solution and I'm posting it here for the benefit of other poor souls who make their first steps with OpenERP.

One have to insert the function into the localcontext of the class definition. So if this is the original class definition:

class order(report_sxw.rml_parse):
    def __init__(self, cr, uid, name, context):
        super(order, self).__init__(cr, uid, name, context=context)
        self.localcontext.update({'time': time})

The new one shall look like this:

class order(report_sxw.rml_parse):
    def __init__(self, cr, uid, name, context):
        super(order, self).__init__(cr, uid, name, context=context)
        self.localcontext.update({'time': time, 'testme': self._testme})

def _testme(self):
  return "testme"

And the function can be used in the RML file like this:

<td>
  <para style="terp_default_9">[[ testme() ]]</para>
</td>