scott523, thank you for your advice! I was a bit at loss how to avoid using the confirmation codes sent to my iPhone, as it seemed I didn't have any alternatives. But I finally figured it out:
On the iPhone: Open settings --> iCloud --> account, tap Keychain at the bottom of the page, and then turn "approve with security code" on (I'm not sure that is exactly what it says, my iPhone is Norwegian, but something along those lines.)
That way, I didn't get (and of course didn't need) the 6 digit code via SMS when activating the iCloud Keychain, but instead was asked to enter my four digit pin twice, and could approve from my MacBook. Problem solved, and no Keychains erased! After that, I could turn on iCloud Keychain in Maverics as well. I'm not at home now, so I don't have access to my iPad or the drive with Yosemite on it, but I think (or hope!) it will probably work there as well. Will have to try your step 2 tomorrow.
SanFran95, maybe turning off the option mentioned above could help you as well. It seems the verification via SMS with security code is broken, and this is the way to bypass that. I didn't know about it, and it wasn't very obvious (to me, anyway.)