How should I implement inclusive ranges in Python?

Write an additional function for inclusive slice, and use that instead of slicing. While it would be possible to e.g. subclass list and implement a __getitem__ reacting to a slice object, I would advise against it, since your code will behave contrary to expectation for anyone but you — and probably to you, too, in a year.

inclusive_slice could look like this:

def inclusive_slice(myList, slice_from=None, slice_to=None, step=1):
    if slice_to is not None:
        slice_to += 1 if step > 0 else -1
    if slice_to == 0:
        slice_to = None
    return myList[slice_from:slice_to:step]

What I would do personally, is just use the “complete” solution you mentioned (range(A, B + 1), l[A:B+1]) and comment well.