Let's see if I understood it the right way: to have a LZMA kernel I have to compile the Core kernel image with this config.
Correct, but...
1. Once you're at it, you might consider to also compress the initramfs with same algorithm as kernel, that might give a more notable difference as the initramfs is bigger than the kernel and so the savings of size would be more there.
2. You might first look at xz in comparison to lzma.
Besides from that, you could experiment with recompressing the stock kernel with upx, which however seems to work with some parameters (hardware?? bootloader?? compression options??) and not with others.