This wasn't as difficult as I feared but still caused some difficulties.

Most notably, the sb-executable module has been patched in such a way
that the executables it generates are only guaranteed work as long as
you still have the SBCL package which generated them in your store.
After it's garbage-collected, they will fail to run because they will
try running themselves with the /gnu/store/.../bin/sbcl that was used to
generate them.  (Also they will contain a #!/.../bin/sh shebang pointing
to the Bash package that was input to the SBCL version they were
generated with; that Bash package could get garbage-collected too.)