Create an ArcCatalog OLE DB Connection using Python

Can you use arcpy 10.1 yet? OLEDB connections are created as .sde files at 10.1 using a new function: http://resourcesbeta.arcgis.com/en/help/main/10.1/index.html#/Create_Database_Connection/00170000016q000000/

arcpy.CreateDatabaseCOnnection_management("C:\\MyDirectory", "test.sde", "SQL_SERVER", "servername", "DATABASE_AUTH", "MyUserId", "MyPassword", "SAVE_USERNAME", "databasename")

I don't think the ability to create ArcGIS OLE DB connection files is exposed in arcpy. You'll need to either create the .odc files beforehand, use ArcObjects in Python to create them, use ODBC, e.g. through pyodbc, or use one of these other APIs, to get at the data you need.