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You can not avoid it. The way it works is

1. Convert the .sage file into a .py file
2. Execute the .py file

If you don't want extra files to be created, just use .py files directly. The .sage hides some work for you. The conversion .sage -> .py essentially consists in

• writing the line from sage.all import * at the begining of the file
• turn on the preparser. For example if you write 123 it will be understood as a Sage integer and not a Python integer.