Wing provides two ways to interact with Python from a command prompt. Both of these offer auto-completion and are integrated with the Source Assistant:

The Python Shell lets you try out bits of code as you write them. See the Evaluate items in the Source menu or editor context menu (right-click) to evaluate selected files and ranges of code.

The Debug Probe runs your commands inside the current debug stack frame. This can be used to execute bits of code that help to diagnose or design a fix for a bug within the actual runtime context it is being designed for.

Note that you can create as many instances of these tools as you wish, using the tool area configuration popup.