Steve Jones walks through a Python tutorial:
However, there were other errors, which I suspect are related to Python 2.7 v Pyhton 3.5. Rather than solve those, I went on to the columnstore demo. In this, you create a table with 5mm rows and then run a query against it from Python. I did that, then created the columnstore index, then ran it again. The results are below.
And within an hour or so of starting, Steve has hit the 2.x vs 3.x mess in Python.