Hello Matias,
Sorry for my later reply, really too busy these days.
Answer your two questions:
1. About external debugger:
It seems you already have the FRDM-KE02, it's OK.
Give you a good news: our FRDM board's on board debugger also can debug the external chip or kinetis board.
So, just follow me.
1) make the FRDM-KE02 as the external debugger.
Download the JLINK firmware to your FRDM-KE02 board, just make your board debugger as the JLINK.
Then check the following picture:

Remove the R58, then use J7 to connect to your external SWD interface.
Actually, R58 will determine the on board debugger to connect to the on board chip or the external chip.
If you connect the R58, SWD will connect to the on board KE02 chip.
If you disconnect the R58, SWD can connect to external KE02 chip with J7.
2. About software:
1) Can I use freescale bootloader and CodeWarrior ? or Do I have to use any other software?
If you just want to use the application code, you don't need bootloader.
About the IDE, you can use KDS, CW, MCUXpresso, IAR, MDK.ect.
Abou the sample code, you can use sdk_2.3.0_FRDM-KE02 or the driver, please check these link:
1' KSDK
Welcome | MCUXpresso SDK Builder
Choose FRDM-KE02, generate the code and download it.
2' driver code
FRDM-KEXX Driver Library Package
2) Can I use threads (like do two programs at the same time) in this ke02z?
Maybe you need to find the programmer, but it's too expensive, more expensive than the JLINK or PE multilink.
Wish it helps you!
If you still have question about it, please kindly let me know!
Have a great day,
Kerry
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