Yes, UV could do the trick, but still I would need to render a bitmap image.

No, as far as my ideas go, it should be possible to render text in a separate bitmap, and use that as a texture, but that is a bit messy.

I don't use the jMonkey SDK, I use Eclipse. Anyway, I downloaded a blender object from the web, and using the jMonkey sdk I converted it into j3o, and then I copied that file to my eclipse project, but I didn't find any extra texture files or such.

I don't think so, but I saw there was some kind of plugin, but I didn't investigate that.

The link that I posted says: "For development with the jMonkeyEngine 3, we recommend to use the jMonkeyEngine SDK. Alternatively, you can use your favorite IDE: In this tutorial we show how to download and set up the latest nightly build of the jMonkeyEngine 3 for use with the Eclipse IDE. Instructions for NetBeans IDE are also available."