The documentation for py2app does cover how to show the console. See the following:
I usually don't want the command window in my applications when I put them on a client's machine. It typically annoys the client. Instead I would create log file using Python's logging module. You could create the logger object before you call your wxPython code and just pass the logger in. Something like this:
frame = MyFrame(logger)
Then you can catch error messages and have them logged to the log file. To keep the log file from becoming overly large, I would recommend creating a rotating log. See the docs for more information:
There also appears to be another way to create app bundles on Mac that I've never heard of. It is called Platypus. You might want to check that out as well.