This issue is essentially a duplicate of $4832, in which Ned Deily added 'defaultextension' in the code below.  Saving works fine on Windows, The added default extension is not shown in the input box of the SaveAs dialog but it is visible in file listing or in the IDLE editor title bar.  Ned said that with the his addition, it also worked on OSX.  Are you sure there is no extension in a file listing or title bar if you don't add .py?  What tcl/tk version are you using?  (See Help => About IDLE.)

The relevant code in idlelib/iomenu.py (IOBinding before 3.6),

    filetypes = [
        ("Python files", "*.py *.pyw", "TEXT"),
        ("Text files", "*.txt", "TEXT"),
        ("All files", "*"),
        ]

    defaultextension = '.py' if sys.platform == 'darwin' else ''
...
    def asksavefile(self):
        dir, base = self.defaultfilename("save")
        if not self.savedialog:
            self.savedialog = tkFileDialog.SaveAs(
                    parent=self.text,
                    filetypes=self.filetypes,
                    defaultextension=self.defaultextension)
        filename = self.savedialog.show(initialdir=dir, initialfile=base)
        return filename