It seems that Python.h automatically instructs the linker to use python27_d.lib (we don't!). On my system (Anaconda) this results in a linking error as this library is not distributed.
This appears to be a known problem, see e.g. https://stackoverflow.com/questions/16200997/why-doesnt-include-python-h-work
As we cannot control the Swig output, one (rather horrible) trick is to make your own Python.h as in
https://github.com/malaterre/GDCM/blob/master/Wrapping/Python/Python.h.in
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Yes, I've used said horrible trick before. We could possibly alternatively get away with creating a temporary symlink python27_d.lib -> python27.lib
reading more on this, these tricks seems unsafe (as the debug build of python isn't compatible with the normal one). So we won't fix this.