Al,
there is a tool in Data Management Tools -> Workspace that lets you create a sde connection file.
You could create the file directly from within your Python script.
The following code is from the Desktop Help:
# CreateArcSDEConnection.py
# Description: Simple example showing use of CreateArcSDEConnectionFile tool
# Author: ESRI
# Import system modules
import arcpy
# Set variables
folderName = r"c:\connectionFiles"
fileName = "Connection to gpserver.sde"
serverName = "gpserver"
serviceName = "5151"
databaseName = ""
authType = "DATABASE_AUTH"
username = "toolbox"
password = "toolbox"
saveUserInfo = "SAVE_USERNAME"
versionName = "SDE.DEFAULT"
saveVersionInfo = "SAVE_VERSION"
#Process: Use the CreateArcSDEConnectionFile function
arcpy.CreateArcSDEConnectionFile_management (folderName, fileName, serverName, serviceName, databaseName, authType, username, password, saveUserInfo, versionName, saveVersionInfo)
Monika