Ok I got it :)
First you need to add in the administration site the cultures you want to support (Administration > Settings > Resources > Cultures).
Then, in the labels & messages (Administration > Interface Labels & Messages) you can create new localized messages in each culture you defined previously.
When creating a new label at the very bottom of the form you can specify a Type and a Key.
In fact, the Type corresponds to the ASP.NET resource class in which you want your resource to be added into.
Therefore, the Type concept is the Sitefinity equivalent of the ClassKey property in Visual Studio ASP.NET Designer.
For instance, I created a label the type set as Labels, and of the CreateYourAccount key.
Consequently, in my hand-made user control I can use my newly created label through an expression such as:
Text="<%$ Resources:Labels, CreateYourAccount %>"/>
In the end it all works great and it's thanks to the default web.config provided in Sitefinity Web Application projects, as it is already configured to use Sitefinity resources:
Hope this helps,