As a graphical application, IDLE, is shipped, a .desktop file should be included for intallation to /usr/share/applications. Furthermore, a 16x16 pixel version in XPM format of the Python icon should be shipped to accompany the menu entries. Attached is a tarball containing .desktop files for IDLE 2 and 3 as well as the icon.
For the correct icon to appear you have to copy the provided .xpm file to the given location: /usr/share/pixmaps/python.xpm This is still an issue for the current version of python 3.3. This is really easy to fix. Simply include the files already provided. I can confirm they work on Archlinux in XFCE.