This what I don't understand from your reply: It's necessary to render the cube maps? I mean I understand that SH will help me "compress" the cube maps (becouse storing them for let's say 32x32x32 grid of probes would requires too much memory)....and then lookup them using SH...but wouldn't be too expensive create those cube maps in real time? I'm using RSM to store virtual point light of the scene...is it possible to store incoming radiance into SH without using Cube Maps?
Most video cards can render the scene into 6 128x128 textures pretty damn quick, given that most video cards can render complex scenes at resolutions of 1280x720 and up without struggling. You would then also perform the integration of the cubemap in a shader as well, instead of pulling the rendered textures down form the GPU and performing it on the CPU. This yields a table of colours in a very small texture (usually a 9 pixel wide texture) which can then be used in your shaders at runtime. You dont need to recreate your SH probes every frame either, so the cost is quite small.
The Stupid SH tricks paper also has functions for projecting directional, point and spot lights directly onto the SH coefficients table, however the cubemap integration is much more ideal as you can trivially incorporate area and sky lights.