It's not terribly difficult to tell Xcode to launch a Python process and start your script, but it comes up now and again, so I thought I would spell out the steps required.
Choose File->New Project.
Choose Empty project.
Choose where to save it and what to name it, and click Finish.
Choose Project->New custom executable
Give the executable any name you want (I usually call it 'python') and *type in* the executable path to the python you want to run (/usr/bin/python or /usr/local/bin/python) and click Finish.
You can now use Debug->Run executable (Command-R) to get a Python prompt. Be warned that you can't send Control-D to this process, and clicking the stop task button rather harshly kills the process. This is the one drawback I have found to using this method.
Now, double-click on the 'python' executable you just created in the Executables list. You will be able to set the launch arguments, environment variables, working directory and more.
Press the plus button under Arguments, and type in the fully-qualified path of your main python script.
It is good if your script can run to completion, so hopefully it is just a script that does something and exits, or if it is an application which enters a mainloop and runs forever, it has some way of externally shutting it down. You can kill it with the stop button, but it's not a clean kill at all.