Ok, the discussions on the internet about how we should clean the chain give and take. Especially the use of WD40 is critisized by many people.
But in lack of a better option, here's what I personally decided to do:
1) Spray some WD40 on a soft cloth and scrub the chain with this cloth until it looks like new.
2) Wipe the chain again with a new soft cloth to remove as much from the WD40 residue from the chain
3) Spray chain lube. Do not overdo it. Too much of it will just make a mess and sling off. I use Motorex chain lube. Spray the inside of the chain, not the outside for more effective use. Do this after a few hundred miles or when the bike is washed/riden in the rain.