It works. I had a bad time trying to get it working because I forgot to restart the server.

Instead of a ',' I would like a carriage return, and I would like to avoid that for the last item. I am trying to fix that now. 

I include the whole parser just in case someone is interested:

from openerp.report import report_sxw
from openerp.osv import osv
from openerp import api

class invoice_parser(report_sxw.rml_parse):

    def __init__(self, cr, uid, name, context):
        super(invoice_parser, self).__init__(cr, uid, name, context=context)
        self.localcontext.update(
            'get_related_picking': self._get_related_picking,
        }

    def _get_related_picking(self, value):
       if value:
          stock_picking_pool = self.pool.get('stock.picking')
          stock_picking_ids = stock_picking_pool.search(self.cr, self.uid, [('origin', '=', value)])             ref = ""                                                                                               if stock_picking_ids:                                                                                     for pid in stock_picking_ids:                                                                              p_rec = stock_picking_pool.browse(self.cr, self.uid, [pid])                                            ref = ref + str(p_rec.name) + ","                                                               return ref

class report_custom_invoice_parser(osv.AbstractModel):
    _name = 'report.custom_reports.invoice_custom'
    _inherit = 'report.abstract_report'
    _template = 'custom_reports.invoice_custom'
    _wrapped_report_class = invoice_parser