Shed Skin can turn your program into a fast executable, but maybe that doesn't work for your program.
With py2exe and a setup.py like this you can easily turn your Python 2.x code in Windows into an executable with only one extra file, unlike cx_Freeze's flat output of 11 files. For Python 3, use cx_Freeze, or py2exe.
The key part is:
options={
'py2exe': {
'compressed': 2,
'optimize': 2,
'includes': includes,
'excludes': excludes,
'packages': packages,
'dll_excludes': dll_excludes,
'bundle_files': 1, # 1 = .exe; 2 = .zip; 3 = separate
'dist_dir': 'dist', # Put .exe in dist/
'xref': False,
'skip_archive': False,
'ascii': False,
'custom_boot_script': '',
#'unbuffered': True, # Immediately flush output.
}
},
zipfile=None, # Put libs into .exe to save space.
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