I have started this blog where I am using all the nice features of Jekyll for categorizing the posts and adding tags to them. However, as you can see, if I click in any of the tags or categories at the bottom of the post, I get 404 not found page:
Can you please explain what is happening and help to fix the issue?
You need to create the tag and category pages. If you check the theme’s docs or demo site there are starter pages for both.
Thank you @mmistakes, problem solved 
I have one more question related to tags, how can I get a RSS feed for all the posts tagged with a tag let’s say mytag? I need that link in order to subscribe my blog as part of a collections of blogs talking about Julia:
You’ll need a plugin to do that or you can build feeds manually for each tag.
Thank you @mmistakes, I will go with the manual solution for now, I don’t see myself creating feeds for other tags at the moment. I appreciate all the links, I am getting used to it slowly.