I am using the latest version on Yosemite.
After finishing a book, I am now going through all my footnotes.
Question: is there a shortcut for navigating from one footnote to the following? It would be also nice if, after going to the following footnote, the cursor could be ready for me to add new text (at the end of the footnote text). Right now I have to use the mouse (and not always this works smoothly).
If I understand correctly, you are trying to get back to the text editor after typing in a footnote? Try using the Esc key when you are done typing in the footnote. This will return you to the text editor.
If you mean jumping from one footnote to the next in a document, then once you have clicked over to the inspector (or you can use Ctrl-Opt-Cmd-L, which is the keyboard shortcut to activate—and focus, if already displayed—the Foonotes & Comments pane) try using Arrow keys to jump from one to the next.