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You can use it from Emacs, anyway. See sage-mode.

You can definitely make a new module for your own purposes; Sage is basically Python under the hood.

Also, you could in theory do the following (I do this very naive workflow sometimes).

1. Open a Sage file in an editor, called foo.sage.
2. Open a Sage session, and use attach /path/to/foo.sage to load it up.
3. Make changes in foo.sage and save them, in your (still-open) editor.
4. Since you used attach and not load, the changes should now show up (maybe after hitting return?).

Probably you are looking for something more sophisticated, but this does work.