If Raymond concurs that either unchecking the Hide Extensions option or checking the Show All Filenmame Extensions preference solves the problem for him, we should just close this issue.  In this particular case, the file is actually saved with a .py extension; it's just that the extension part is not displayed in the standard OS file dialogs.  It is visible via, say, "ls" in a UNIX shell.  This is standard OS X application behavior and caters to two different styles of file interaction.  All OS X applications that use the standard file save dialogs work this way.  See, for example, http://support.apple.com/kb/PH13920?viewlocale=en_US&locale=en_US.