• Inside of Sublime Text: Tools >> Build System >> New Build System

Official python.sublime-build file:

{
	"cmd": ["python3", "-u", "$file"],
	"file_regex": "^[ ]*File \"(...*?)\", line ([0-9]*)",
	"selector": "source.python",
	
	"env": {"PYTHONIOENCODING": "utf-8"},
	
	"windows": {
		"cmd": ["py", "-u", "$file"],
	},
 
	"variants":
	[
		{
			"name": "Syntax Check",
			"cmd": ["python3", "-m", "py_compile", "$file"],
			
			"windows": {
				"cmd": ["py", "-m", "py_compile", "$file"],
			}
		}
	]
}