Quick reply to myself and anybody else who might be interested:
After a few researching and getting the hands dirty, the best way to work is to do it with the different assets separately. Background, characters, background animations... and put them back together in the editor. If you have an animation that is just a moving object or changing position, size or fixed properties, do it through the animation timeline. Don't animate them frame by frame to export them later on. It will cost you memory.
There are other kind of animations more complex that will require you to export them frame by frame. (as a sprite sheet) Try to don't get the sprite sheet too big or you might have problems when you want to play your game in mobile devices.
I think some apps that can help you (like Cinema Director) although playmaker is should be enough to handle everything you need. Basically you will have to apply some scripts to some objects to make them work nicely. (like an endless background that you can customise adding random decals)
The final point here is to avoid as much as possible to export full frames with all the animation on them. Just try to compose the same animation within Unity just modifying the properties of the objects.
My two cents.