You might want to watch Platypus . This is a free application for creating applications that transfer scripts.
Another way to do something like this is to use Automator or even the AppleScript Editor. Or you can create an application that just runs the script.
Update:
For Automator: Launch Automator select the application template, enter "script" in the search field, double-click Run Shell Script, switch the shell popup menu to /usr/bin/python, enter / paste your Python script in the text box. Or leave the popup menu on /bin/bashand just write an external script call into the text box. Save as application.
You can also view help in the help menu.
For AppleScript, start the AppleScript editor, enter the following as a script:
do shell script "/usr/bin/true"
/usr/bin/true script, . .
, "" .