Alexander's answer was the one got me going. The python.sty file from python.sty on github worked fine when I changed line 61 from:
cat \@pythoninclude\space bin/\jobname.py | python > bin/\jobname.py.out 2> bin/\jobname.py.err
to:
python \jobname.py > \jobname.py.out 2> \jobname.py.err
As you can see I also removed the bin folder. So I also changed line 63 from:
\immediate\input bin/\jobname.py.out}
to:
\immediate\input \jobname.py.out}
Using this .sty file and adding -enable-write18
parameter to the command line of pdflatex
worked for me.