For the panel you can use
p = wx.Panel(....., style=wx.SUNKEN_BORDER)
there you can choose from constants:
wx.SIMPLE_BORDER
wx.RAISED_BORDER
wx.SUNKEN_BORDER
wx.NO_BORDER
If you want to create a border around wx.Button, I would use my own bitmap with wx.BitmapButton:
b = wx.BitmapButton(pane, -1, wx.Bitmap('buttons/my_beautiful_button.png'))
For any widget, I think you can always create wx.Panelwith some border and put the widget in the panel.
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