I've installed Omega 4 but drush cannot find the omega help set or the omega command set -- nor can I. Where are these supposed to be located? Without them, I cannot easily create a subtheme with drush, or do any of the drush goodies in omega 4.
Drush can only find additional commands in themes and modules if it knows where your Drupal site is. There are several ways you can do this; cd to the directory that contains your settings.php file, or pass --root and --uri on the commandline to point at the Drupal Root and site uri (e.g. mysite.com), or define a site alias and pass @alias on the command line. See the Drush README file on the github project page for more information.