How do I turn a python program into an .egg file?

Setuptools is the software that creates .egg files. It's an extension of the distutils package in the standard library.

The process involves creating a setup.py file, then python setup.py bdist_egg creates an .egg package.

Also, if you need to get an .egg package off a single .py file app, check this link: EasyInstall - Packaging others projects as eggs.