Except for a manual on how to install and configure the theme, should the files have a documentation also? what should I document?
You want to provide step by step instructions explaining how to do the standard tasks a user of your theme will have to go through and explain how to use as many of the features as you can.
The more thorough your documentation is the fewer support questions you should get (in theory). Even if buyers ask a question answered in the documentation it’s easier to point them to a section in the documentation than it is to re-explain something over and over again.
What about a documentation of the code itself for developers?
Well, if you have custom pages like page templates, shortcodes, featured slider, etc… you should write step-by-step a tutorial on how they can configure the theme to look just like the demo. And, all the custom stuff you added to the theme, apart from the core wp features, should be well-documented. You wouldn’t want a customer that asks you all kind of questions like “How do I change the facebook icon link” or “How do I add a slider”. It all depends on how well-documented is your theme.