The sbcl-cvs ebuild turned out to be a good example of the pitfalls awaiting the CVS ebuilder. Recently the contrib/systems directory was removed from sbcl cvs as Win32 doesn't do symlinks. Unfortunately, the plain-vanilla Gentoo asdf ebuild still wanted them, so when you loaded up Slime it complained it couldn't find SB-BSD-SOCKETS.
The solution was to create the symlinks as part of the ebuild. Slime now works with it..Here's the new ebuild. It needs to live in /usr/local/portage/dev-lisp and you need PORTDIR_OVERLAY="/usr/local/portage" in your make.conf.
Edit: perhaps I should also warn you that this ebuild uses cmucl to compile sbcl and will pull that in, too.