1.) Is it ok to start making SD atlas with 480 height? This way I could easily work in editor?
It doesn't really matter if you build your UI from SD, HD, or UD; as long as you set the pixel size on your atlases correctly. That being said, working with the SD is probably the easiest since it's the smallest. I always work with my lowest resolution. Also make sure you clear your Atlas References before building otherwise your SD atlases will be loaded whether you are on an SD device or not.
If you build from SD; SD would be 1.0, HD would be 0.5, and UD would be 0.25.
If you build from HD; HD would be 1.0, SD would be 2.0, and UD would be 0.5.
If you build from UD; UD would be 1.0, HD would be 2.0, and SD would be 4.0.
2.) What actual dimensions you take for SD,HD or UD sprites. For example what is enough for squared sliced sprite
Again, it doesn't really matter, however you should always slice anything that you can to as small as possible; as long as your atlases are maximum 1024x1024 for SD, 2048x2048 for HD, and 4096x4096 for UD (having 4096x4096 could possibly limit your compatibility across devices, but in my experience any device that would be using the UD assets supports 4096x4096 textures).
3.) What actual dimensions you take for SD,HD or UD fonts?
I'm not to sure about font's, just use a dynamic font and tweak it until it looks good. The font's are not going to be any limitation.
4.) Naturally, I would need to created vector version of sprites so it scales properly? Scaling down from UD atlas does not give good results, right?
NGUI/Unity does not support vector graphics; you have to design your graphics at full resolution (for UD) and then use something like photoshop or texture packer to scale them down to half (HD) and quarter (SD) sizes.