You can create a new stateful contract configuration and set a PyTeal program as approval or clear state program for the stateful application.
To create a new stateful contract configuration,
Right click on the project > New > Stateful TEAL Configuration
Provide contract name, approval program and clear state program
Select PyTeal program for both approval and clearstate program
Notice that when you select a .py file for approval / clear state program, the value will be converted to *.teal file in the generated-src folder. That's because the pyteal file is compiled into TEAL file during pyteal compilation.