Until I stumbled upon this solution from Lars Michelsen. And it's so simple! Thank to Lars! Here how I did it following the instruction from Lars:
1. Create a file .Xmodmap in home directory (for example touch .Xmodmap)
2. Copy and paste following lines in the file
! Map umlauts to RIGHT ALT +
keycode 108 = Mode_switch
keysym e = e E EuroSign
keysym c = c C cent
keysym a = a A adiaeresis Adiaeresis
keysym o = o O odiaeresis Odiaeresis
keysym u = u U udiaeresis Udiaeresis
keysym s = s S ssharp
keysym l = l L sterling
Note: the last line is added by me, because I need also the Sterling sign (by pressing Right-Alt+l)
3. If you are in Ubuntu, just log out and log in again and you can use the key combination to produce the characters. Right-Alt+o for example produces ö and so on.
4. Alternatively type following command in terminal: xmodmap ~/.Xmodmap
Again a big thank you to Lars. Please visit his website. It's worth it!
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Lars Michelsen, German Umlauts on US Keyboard in X (Ubuntu 10.04)