Let me summarize all the answers and add some more.
To write to a file from within your script, user file I/O tools that are provided by Python (this is the f=open('file.txt', 'w')
stuff.
If don't want to modify your program, you can use stream redirection (both on windows and on Unix-like systems). This is the python myscript > output.txt
stuff.
If you want to see the output both on your screen and in a log file, and if you are on Unix, and you don't want to modify your program, you may use the tee command (windows version also exists, but I have never used it)