I prefer to use py, (the python launcher) rather than python as it makes it easy to select the appropriate version of python, I struggled a little bit but here is what worked for me (Sublime 3 on Windows only)
First I wanted to see what the built in Python.sublime-build settings looked like, to do this I unzipped the existing package file from the Sublime packages folder, somewhere like C:\Program Files\Sublime Text 3\Packages, this step is tricky as it is not obvious the package files are in fact zip files.
In the zip file look for Python.sublime-build, to save you some time it looks like:
"shell_cmd": "python -u \"$file\"",
"file_regex": "^ ]*File \"(...*?)\", line ([0-9]*)",
To tweak this, change the shell_cmd value to replace "python" with "py" then save the result in
%APPDATA%\Sublime Text 3\Packages\Python\Python.sublime-build
(note, %APPDATA% is an environment variable, and will be something like C:\Users\USERNAME\AppData\Roaming)