You created the callback function and the function for adding the Theme page, but you also have to tell WordPress when to call your function my_plugin_menu. You can do this by hooking into admin_menu.
add_action('admin_menu', 'my_plugin_menu');
This way WordPress knows that when it reaches the Scripts for admin_menu, it also has to execute your code, thus adding your Theme Page.
More information on this is available on the Codex.