I wish to tag visitors who came to my site and clicked the RSS button.
My goal is to "Segment" this visitors in Google Analytics, so I'll be able to see where my "new readers" are coming from.
How can it be done in WordPress?
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The best way is to track this in Feedburner - that will tell you how many "subscribers" you may have at any time.
If you want to track how many people click on your RSS feed link on your WordPress site you can tag the link with some Google Analytics tracking code.
If you want to be able to see which of your visitors have subscribed in GA, you need to call an event, a virtual page or a custom variable using an onclick event.
Probably best to use an event, so add something like this to the link:
<a href="subscribe link" onclick="_gaq.push(['_trackEvent', 'Subscribe', 'RSS', document.location.pathname]);">Subscribe</a>
After that you can then create an advanced segment based on the event to isolate those visitors who clicked on your subscribe button.
I would recommend creating a goal for these subscribes, and assigning an approximate monetary value to it, so you can use conversion tracking features too.
It's not a wordpress thing but a syndication thing. You need to setup an account with Feedburner, and then use the instructions there to change your feed link to point to them. It's done via a plugin they have, so it's fairly painless. Then you share your feedburner username with Google Analytics. Google bought feedburner, so it may even be easier now.