The feature was added in version 0.3.0, so make sure you have that installed.
~/src/shopify_python_api(master=)$ ./bin/shopify_api.py console
using shop1.localhost:3000
Python 2.7.2 (default, Sep 10 2011, 13:02:26)
[GCC 4.2.1 (Based on Apple Inc. build 5658) (LLVM build 2335.6)] on darwin
Type "help", "copyright", "credits" or "license" for more information.
(ShopifyAPI)
>>> shopify.Customer.search(q='Dylan')
[customer(2), customer(26), customer(31)]
>>> shopify.VERSION
'0.3.1'
^ It is working locally for me with the latest version.