Just sorted it out. Here it is how to compile python from the sources.
$ ./configure --prefix=/home/user/sources/compiled/python3.4_dev --with-ensurepip=install
$ make
$ make install
If you get "Ignoring ensurepip failure: pip 1.5.4 requires SSL/TLS" error:
$ sudo apt-get install libssl-dev openssl
$ ls
2to3 idle3 pip3.5 python3 python3.5m pyvenv
2to3-3.5 idle3.5 pydoc3 python3.5 python3.5m-config pyvenv-3.5
easy_install-3.5 pip3 pydoc3.5 python3.5-config python3-config
As you can see pip is copied into target folder, the --with-ensurepip=install
is important.