How do/can I generate a PKCS#12 file using python and the cryptography module?

As you noted, cryptography can parse PKCS12 (at least the subset used by 99.99% of people) with load_key_and_certificates, but serialization to PKCS12 is not currently supported.

I'm one of the core developers for the project and in general cryptography's feature set is driven by users filing issues that explain their use case and need for a particular feature. I'd recommend writing something up on the tracker for discussion. It sounds like your needs would be covered by a simple API looking roughly like:

from cryptography.hazmat.primitives.serialization.pkcs12 import generate_pkcs12

pem_pkcs12 = generate_pkcs12(
    BestAvailableEncryption(b"somepassword"), 
    key, 
    [cert1, cert2]
)

Update: this feature is implemented in pyca/cryptography 3.0:

https://cryptography.io/en/latest/hazmat/primitives/asymmetric/serialization.html?highlight=pkcs12#cryptography.hazmat.primitives.serialization.pkcs12.serialize_key_and_certificates

Perhaps the code here might be useful? It's not the cryptography module -- it's chilkat, but it does the job.

import sys
import chilkat

#  First load our certificate into a certificate object,
#  and then get it as a cert chain object.
cert = chilkat.CkCert()

success = cert.LoadFromFile("qa_data/rsaes-oaep/cert.pem")
if (success != True):
    print(cert.lastErrorText())
    sys.exit()

#  This is the certificate PEM that we loaded:

#  -----BEGIN CERTIFICATE-----
#  MIIDozCCAougAwIBAgIJAMRwugDmvniwMA0GCSqGSIb3DQEBCwUAMGgxCzAJBgNV
#  BAYTAlVTMQswCQYDVQQIDAJJTDEQMA4GA1UEBwwHV2hlYXRvbjEhMB8GA1UECgwY
#  SW50ZXJuZXQgV2lkZ2l0cyBQdHkgTHRkMRcwFQYDVQQDDA5DaGlsa2F0V2lkZ2V0
#  czAeFw0xNzA0MTgxMzQxNDVaFw0yMjA0MTcxMzQxNDVaMGgxCzAJBgNVBAYTAlVT
#  MQswCQYDVQQIDAJJTDEQMA4GA1UEBwwHV2hlYXRvbjEhMB8GA1UECgwYSW50ZXJu
#  ZXQgV2lkZ2l0cyBQdHkgTHRkMRcwFQYDVQQDDA5DaGlsa2F0V2lkZ2V0czCCASIw
#  DQYJKoZIhvcNAQEBBQADggEPADCCAQoCggEBAMXhMR7TNHSaHgrEGvAmHNqw/8xV
#  5TcngVO//yHBniDHas5b2zm0AkhY5EW9dn0wTWHivoRZC2soH7/bxRi4uYUaxgve
#  YLXw6DO2MHSpuTvhSG3+AjsBDa9kXegn9XT1MdPHk9PrHR0sKXGuimkLf4r+Q1oM
#  iGlhbUyRATwVlmo6AndgniDnj2RFBYV8E8SQ+7SnLPJdXZRDbLNVY/DY6D9stRAY
#  rHuz/WBlVW7TQVuWwe7Cd9bfFqjqzLwLksKevWvHGteYDGeiCi+uvMMNfp/Br79Y
#  zJYF/YpTJYE0POBiMwth1FUIYKpZf/O2eUd6RW9h6hocC5QWU9LAq+7kKFMCAwEA
#  AaNQME4wHQYDVR0OBBYEFKBCsni1BfOyH3dSoY8yL4mDeNbpMB8GA1UdIwQYMBaA
#  FKBCsni1BfOyH3dSoY8yL4mDeNbpMAwGA1UdEwQFMAMBAf8wDQYJKoZIhvcNAQEL
#  BQADggEBAF2iV69ma5XegVWpxbc0gui63RE8NjW2dBW0fa4a4fwNH2f8oetZEjw4
#  kscx7p4ESxyPtDUkLNplAth+D8NNh9IQDWIld+FZrJsis4tkpVcpMsbmB2CW8fL2
#  IVnVznAN+/PMYEAkeSOnovUGlREHZZu4b9rMVm89+aoCQ9z+byjW9kLKHyvLnUai
#  uEHp+0EVFP91CRSIcTCXsW1c5yZ8k5bqL0HlauuOO4TA3IegyYM9xBubmcxg8cRO
#  2F1k+Ge1lu3e+WY+lihaO0p762dF6g/SUMMrFneCPdIhvt4u7Esc9FDxE3xZEq3x
#  cS5sHTxtTM0LVBi378/x5m1hln5hSJU=
#  -----END CERTIFICATE-----

#  Get it as a certificate chain.
# certChain is a CkCertChain
certChain = cert.GetCertChain()
if (cert.get_LastMethodSuccess() != True):
    print(cert.lastErrorText())
    sys.exit()

#  Next, load the corresponding private key from a PEM.
privKey = chilkat.CkPrivateKey()
success = privKey.LoadPemFile("qa_data/rsaes-oaep/privateKey.pem")
if (success != True):
    print(privKey.lastErrorText())

    sys.exit()

#  This is the private key PEM:

#  -----BEGIN RSA PRIVATE KEY-----
#  MIIEpAIBAAKCAQEAxeExHtM0dJoeCsQa8CYc2rD/zFXlNyeBU7//IcGeIMdqzlvb
#  ObQCSFjkRb12fTBNYeK+hFkLaygfv9vFGLi5hRrGC95gtfDoM7YwdKm5O+FIbf4C
#  OwENr2Rd6Cf1dPUx08eT0+sdHSwpca6KaQt/iv5DWgyIaWFtTJEBPBWWajoCd2Ce
#  IOePZEUFhXwTxJD7tKcs8l1dlENss1Vj8NjoP2y1EBise7P9YGVVbtNBW5bB7sJ3
#  1t8WqOrMvAuSwp69a8ca15gMZ6IKL668ww1+n8Gvv1jMlgX9ilMlgTQ84GIzC2HU
#  VQhgqll/87Z5R3pFb2HqGhwLlBZT0sCr7uQoUwIDAQABAoIBAGCP5LWDIWzpLFHa
#  or6gCqKZjyo6nFFO4Ohqn+jsH+slBTTQVGmTMy302uhBbYnnwUtMJ+ZTwaO3/85T
#  Q5otwrJ2f0CZcx42AkoB1SGJFVBoPj0WoCYE/JWjZ8P7g+dgI8GR+cyHRjzPKSZF
#  o1thdgrwyxMtXH/4QCsF89FLQ4xwCJUkj+w0KBkX8isWcBJnKip81MK8rxhgMJ6v
#  5+DBVvlvm4BRz0hva7HB3TaZgo9ZWZdoSJQ/l33yfIL8H0EJjC6uJ/Bn77JtDzcv
#  1oUF02Ebu8/Re7RpUqdTIb1GamrOCjuZN66SrCOsh9rRzueU3UTLzjb9FDv8FQDA
#  5Dm59KECgYEA6zJ2LaiUywth80rAC34jEF85aC3vyKK0MxYELLB9Nw6MNFD1PZly
#  YkOcI2kxVV+1KqtRYFlfEpCL4flqVnqjVj5jTCCOXqO6RjnPLoupf0yLpj60raO6
#  Ouw5EDGjfUDBQtkCQNOx0nZLftVy30Ck/V2gVw9sEgWQV0YRavuymKMCgYEA12HB
#  eHHSo/dK7keiIK7RRQu2ibALXWXsGq9lUbnQAunKRCa3qQtc8OwGRZsdj9u8HwCB
#  zDu5QIbaQCa1SyDz1CsOysOfTYNhh1SZ4GLiu7/b0v5ktgdtosT9niowo08Y4ZU+
#  lA8p2eriylznacNOkA8O1g8m1etHqV+cVKUMvJECgYEApoeVO6DosZd+pCfiMIEA
#  TMBPwl78L6BcXOuSyx2vmwMW7JgB/LqgTck3Ta9Wue9JNEwXE1RUR63HDZpu24p8
#  Cj2kSyumAoaFBuI5uugyfCrzmiM+BNAvtTa69Kdg7feinzVOLh52AuG1dLmnW0HH
#  UIoxVFNcHqqH1/OJs6lBfGcCgYEAkQXhn5gEnSMF8SuKnzcW8cbRQiSnglv+fnlb
#  X4wd49hHuVvYjpp4GkDSeEvZu+PY54cP3tTYB/rFOizWJaAqjdHwQ9c0jJzKLrVo
#  Zw4uXPzypz9j0K1vxQmfO8Bsv4mi10IGwOr04yalTlz/9NbtL1L0Sm4pWCD0P7eB
#  K/12dgECgYBXNV5NcLpZhpjo8q05xAiFuwC2e29qYyVwcFVhYdYguutRKImZtjSE
#  dndNAxa7EDL9NRc5SjX4NHAZoImADRSbgc2rIq2ePY8WORaR+iKsVx7PJGHSiXTL
#  30X9E3com8ctyTsZTnlJ4Dm7SefkN0NKzqwjxXxZLaUteWBPUt+YAg==
#  -----END RSA PRIVATE KEY-----

#  Create a PFX object instance, and add the private key + cert chain.
pfx = chilkat.CkPfx()
success = pfx.AddPrivateKey(privKey,certChain)
if (success != True):
    print(pfx.lastErrorText())

    sys.exit()

#  Finally, write the PFX w/ a password.
success = pfx.ToFile("pfxPassword","qa_output/sample.pfx")
if (success != True):
    print(pfx.lastErrorText())
    sys.exit()

print("Success.")