Being able to build your game into an exe (or other format) is an important step. It's difficult at first but it's something you have to know how to do if you want to share with it other people. Practise it occasionally, even if the game is just a snake clone or something simpler. Build it and playtest it. Otherwise you'll get surprised by things like 'wait, I need to change all the model files to this other format?' and other pitfalls that can take a long time to fix in bigger projects.
I use panda3d to make stuff, and I used building binaries and lesson 16 to learn how to build my creations. It was quite abstract at first, it built but when I tried to run it, it just failed without any message or warning but eventually I figured out how to see the error log and then you can proceed to figuring out why it's failing and usually it's because I have a typo in an asset name or the asset needs to be in a different format. Or the asset path is wrong. Now I have more experience and making a build is still a hurdle but it's less intimidating then it was at first.
Whichever library you use to create things in should have documentation somewhere on how to build it. There's also the official python documentation but I usually struggle to make head or tails of it, other websites tend to have clearer examples.