How can I create a custom variable to use it in my layout template page? For my new project, I'm using the brand new Omega4 theme. It comes with a lot of cool and nice features build in, so no complain about that! 

But when I try to use a custom variable in my theme-layout.tpl.php with the hook_preprocess_html(), nothing is passed...

function theme_preprocess_html(&amp;$variables) {
  $variables['my_variable'] = 'My New Variable';
}


When I try to access my new variable in my theme-layout.tpl.php page with &lt;?php print render($page['my_variable']); ?&gt;, nothing is appearing. 

Although, if I dpm my $variables in both my template and my html.preprocess.inc file, the dpm in my template is printed first... So it looks like the template is printed first and then the preprocess hook is called.

How can I create a custom variable to use it in my layout template page?
Your approach is right but this has less to do with omega than with the order in which Drupal is preprocessing your hook. The html template hook is too late in the process, this is just for rendering the html wrapper and already assumes the existing variables. Instead, following the 1st handbook link above, use the base preprocess hook to establish your variables, ex:

function theme_preprocess(&amp;$variables) {
  $variables['my_variable'] = 'My New Variable';
}