when I do start_devserver --board=<boardname>
and then on my machine I try to stateful_update, I get:
Downloading stateful payload from http://192.168.42.2:8080/static/stateful.tgz
  HTTP/1.1 404 Not Found

Checking on "start_devserver -p", I see:
INFO:cros_generate_stateful_update_payload:Successfully generated /var/lib/devserver/static/cache/2500a02570a7b4ecefd29eea103328c0/stateful.tgz
[08/Mar/2016:15:42:52] UPDATE Linking /var/lib/devserver/static/cache/2500a02570a7b4ecefd29eea103328c0 to /var/lib/devserver/static/pedra/R51-8034.0.2016_03_08_1508-a1
[08/Mar/2016:15:42:52] UTIL Creating symlink: /var/lib/devserver/static/pedra/R51-8034.0.2016_03_08_1508-a1/update.gz --> /var/lib/devserver/static/cache/2500a02570a7b4ecefd29eea103328c0/update.gz
[08/Mar/2016:15:42:52] UTIL Creating symlink: /var/lib/devserver/static/pedra/R51-8034.0.2016_03_08_1508-a1/stateful.tgz --> /var/lib/devserver/static/cache/2500a02570a7b4ecefd29eea103328c0/stateful.tgz
[08/Mar/2016:15:42:52] UTIL Creating symlink: /var/lib/devserver/static/pedra/R51-8034.0.2016_03_08_1508-a1/update.meta --> /var/lib/devserver/static/cache/2500a02570a7b4ecefd29eea103328c0/update.meta

I manually went to /var/lib/devserver/static and:
ln -s /var/lib/devserver/static/cache/2500a02570a7b4ecefd29eea103328c0/stateful.tgz

which made stateful_update work perfectly.