There are a number of ways - here is a Wiki page that explains things in detail:
The short way is to save the script somewhere on your hard drive and then get the full path (including file name and extension) to the script file. Then in Options>Aliases, create your alias as follows:
_NoEcho ! _-RunPythonScript "full path to script"
So, for example if your script is named “MyNewScript.py” and it is stored on your desktop, the path would be:
Yep, that’s fine, as long as you have already set a path in the script editor and the script “LoadPython.py” is stored in that folder path.