Hey everyone.
The $categories is a array with the category slug. This code works just to the first cycle, which means, only the first category is printing.
foreach($categories as $category){
if( wp_list_bookmarks('category_name='.$category.'&echo=0') ){
wp_list_bookmarks( 'title_li=&category_name='.$category.'&before=<li>&orderby=name' ).
}
}