Hello,
I stage context, SOP Import node, sometimes I have the following message :
"Warning
The layer imported from SOPs has no save path set. The SOP node's layer will be output to a file path generated from its Houdini path. "
How can I fix this? What's the layer it's talking about?

The layer it's warning about is the USD layer that's being generated with the SOP geometry (i.e., the SOP geometry converted to USD).

To suppress this warning, you have to explicitly specify where you want this USD data to be saved. See the attached image.

Thanks a lot. What's the best place to put this USD file in a Houdini Project? I chose something like:
$JOB/geo/$HIPNAME.$OS.usd

There's not really any such thing as a best place. Put it wherever makes sense for your workflow. Personally, I like to segregate USD from the rest of Houdini's geo, so I stick it in $HIP/usd/…