Tried endlessly for a day with disk utility and did not succeed.

When my good friend Quasidot helped me to find the way, I’ve promised to write it here. And I do 🙂

sudo hdiutil makehybrid -iso -o <nameoftheimage>.iso <path_where_the_files_you_want_in_the_image_are>

The command above will end with an ISO you can mount on pretty much every decent OS.