There is a tempfile module for python, but a simple file creation also does the trick:

new_file = open("path/to/FILE_NAME.ext", "w")

Now you can write to it using the write method:

new_file.write('this is some content')

With the tempfile module this might look like this:

import tempfile

new_file, filename = tempfile.mkstemp()

print(filename)

os.write(new_file, "this is some content")
os.close(new_file)

With mkstemp you are responsible for deleting the file after you are done with it. With other arguments, you can influence the directory and name of the file.

UPDATE

As rightfully pointed out by Emmet Speer, there are security considerations when using mkstemp, as the client code is responsible for closing/cleaning up the created file. A better way to handle it is the following snippet (as taken from the link):

import os
import tempfile

fd, path = tempfile.mkstemp()
try:
    with os.fdopen(fd, 'w') as tmp:
        # do stuff with temp file
        tmp.write('stuff')
finally:
    os.remove(path)

The os.fdopen wraps the file descriptor in a Python file object, that closes automatically when the with exits. The call to os.remove deletes the file when no longer needed.