You use Python when the XML doesn't have fields which accomplish something that you want to do, usually because it is very specific (I want this one unit, when it is on this certain terrain, to be able to do something cool).
You use SDK when the game doesn't already have the ability you want, and you will use it frequently (I want promotions to be able to give a percent bonus to culture when the unit is in a city).
You also have to use one or the other when modification of how something which already exists is your goal. Then it is based on where the programming you want to modify is already contained.
End result though: SDK is faster while the game is running, but takes a bit longer to design and debug. Python is slower during the game, but is easier to modify and is generally preferred when doing very specific actions.
