Which desktop are you in?. If it's KDE, simply right click at the desktop >> create new >> Link to application.
There you place a name to your program, let's say python, then at the tab execute, type python and mark the box "Run in Terminal".
The idea is to create a link to a terminal where it will start running the command python. Python is command line, so you've to start python in a terminal, always.
Although, may I ask what you are going to do with python shortcut?
. Running Python from the terminal is not useful and very limited. It's simply for testing basic commands as print and stuff. To code in Python, you have to create a simple text file, save as .py (eg: your_program.py) and then run from the terminal with python as:
Well, good luck