Spam filter in signatures? Since otherwise great spam module does not check user signatures for spam, I have hard times fighting spammers who just put their spam links in their signatures in the forum so basically they rendered my custom spam filters useless. 

I appreciate if you have some suggestions to resolve this problem.
OK, a better answer in the context of forum signatures only ( assuming D6 forum_signature module ) could be

Preprocess the signature.tpl.php template file and add the spam check

in template.php, function sig might be THEME_preprocess_signature, so try both, if first doesn't work.

function THEME_preprocess_signature_forum(&amp;$variables){
  $content = $variables['signature'];
  $test = spam_content_is_spam($content, 'signature_forum');
  if (!empty($test['is_spam']) &amp;&amp; $test['is_spam']){
   $variables['signature'] = t('This signature has been removed by our spam filter, please contact the site administrator for assistance');
  }

}


Then clear theme registry cache.

I don't use those modules myself, but such an approach, with a little tweaking, could work.