Note: This is a meta-post, so no answers are needed. I will answer it by myself.
My dearest SageTeXer, Sagers, arara-users and Pythoners as well!
The normal way to compile a file example.tex
which contains SageTeX is
pdflatex example.tex
sage example.sagetex.sage
pdflatex example.tex
So the initial question is: How to make a shortcut for this?