Make a python program an application I would like to make a Python program executable, like in Windows, when you use a program like cx_Freeze to make Python programs become .exe. I would like to do the same for Mac, I would like to make it an app...

I know I can put as first line of the file, a sheebang, or that I can change the mode of the file, but this does not make the program an independent application...
You might want to take a look at Platypus. It is a developer tool for OS X that lets you wrap your Python/Perl/shell/etc script with an application framework that makes your Python script appear and run like it was a native OS X application.

Though I believe you can do the same thing with Automator, there are a few extra nice things about Platypus from what I remember. For example, you can create a custom icon for the application where I think Automator's output would probably have to be modified after the fact.