Seeing the answer of @albertinisg here, I found a bash script for token request. I changed it to use with my local instances and it worked.
After registering my application at FIWARE Portal (more information here), I had to make a POST request to http://idm:8000/oauth2/token (idm is my local instance of Keyrock). With this valid token, I can access the content in Orion.
import requests, json, getpass
TOKEN_URL = "http://idm:5000/v2.0/tokens"
USER = raw_input("Username: ")
PASSWORD = getpass.getpass("Password: ")
PAYLOAD = "{\"auth\": {\"passwordCredentials\": {\"username\":\""+USER+"\", \"password\":\""+PASSWORD+"\"}}}"
HEADERS =  {'content-type': 'application/json'}
RESP = requests.post(TOKEN_URL, data=PAYLOAD, headers=HEADERS)
PEP Proxy (Wilma) configuration (config.js):
config.app_host = 'my_orion_ip'; //change to your Orion address
config.app_port = '1026'; //change to your Orion port
config.username = 'pep_proxy_credential_obtained_at_portal';
config.password = 'password_obtained_at_portal';
With the valid token and the PEP Proxy (Wilma) server running with this configuration, it is possible to control the access to Orion doing a request to PEP Proxy address. The PEP Proxy will redirect this request to IdM (Keyrock) so that IdM can verify the user/device credentials. If the credentials are valid, the user/device will receive a valid token and now PEP Proxy can allow the access to Orion.
For HTTPS communication, I configured a Nginx server to act like a reverse proxy (.conf file): 
server {
   listen       443;
   server_name  orion;
   ssl                  on;
   ssl_certificate      /etc/nginx/ssl/orion.crt;
   ssl_certificate_key  /etc/nginx/ssl/orion.key;
   ...
   ...
   location / {
      #root   orion:1026;   #/var/www/yourdomain.com;
       #index  index.php index.html index.htm;
       proxy_set_header        Host $host;
       proxy_set_header        X-Real-IP $remote_addr;
       proxy_set_header        X-Forwarded-For $proxy_add_x_forwarded_for;
       proxy_set_header        X-Forwarded-Proto $scheme;
       # Fix the “It appears that your reverse proxy set up is broken" error.
       proxy_pass          http://orion:1026;
       proxy_read_timeout  90;
       proxy_redirect      http://orion:1026 https://orion;
   }
}
I made a simple tutorial about the integration of FIWARE Orion, Wilma and Keyrock: https://www.slideshare.net/daltoncezane/integrating-fiware-orion-keyrock-and-wilma
I hope this answer can help someone else.