Comment 2 for bug 1375777

silly me, the template is wrong.

Please change the following:
LaunchConfigurationName: my_config
to
LaunchConfigurationName: {Ref: my_config}

This is why you are not getting a dependency between the auto-scaling group and the launchconfig.
See: http://docs.aws.amazon.com/AWSCloudFormation/latest/UserGuide/quickref-autoscaling.html