We describe in this paper the formation, structure, and magnetic properties of a new system which consists of a lyotropic hexagonal phase doped with colloidal magnetic particles. The initial nondoped lyotropic system is cyclohexane/SDS/water/pentanol, in which we replace the cyclohexane by a ferrofluid. The lattice parameter of these new phases is determined by small-angle X-ray scattering to be about 27 nm and thus significantly larger than that in the hexagonal phases of the nondoped system. The first magnetic experiments performed on the doped phase put into evidence an orientation effect of the whole structure and thus indicate a strong magnetic anisotropy, suggestive of intimate incorporation of the magnetic particles into the hexagonal lyotropic structure.