I have a simple script that has a dependency on dnspython for parsing zone files. I would like to distribute this script as a single .py that users can run just so long as
please don't do this. If you do DO NOT make a habit of it.
pydns is BDS licensed but if you try to "embed" a gpl module in this way you could get in trouble
you can learn to use setuptools and you will be much happier in the long run
setuptools will handle the install of dependencies you identified (I'm not sure if the pydns you are using is pure python so you might create problems for your users if you try to add it yourself without knowing their environment)
you can set a url or pypi so that people could upgrade your script with easy_install -U