Axes

# axes.py
from pymol.cgo import *
from pymol import cmd
from pymol.vfont import plain

# create the axes object, draw axes with cylinders coloured red, green,
#blue for X, Y and Z

obj = [
   CYLINDER, 0., 0., 0., 10., 0., 0., 0.2, 1.0, 1.0, 1.0, 1.0, 0.0, 0.,
   CYLINDER, 0., 0., 0., 0., 10., 0., 0.2, 1.0, 1.0, 1.0, 0., 1.0, 0.,
   CYLINDER, 0., 0., 0., 0., 0., 10., 0.2, 1.0, 1.0, 1.0, 0., 0.0, 1.0,
   ]

# add labels to axes object (requires pymol version 0.8 or greater, I
# believe

cyl_text(obj,plain,[-5.,-5.,-1],'Origin',0.20,axes=[[3,0,0],[0,3,0],[0,0,3]])
cyl_text(obj,plain,[10.,0.,0.],'X',0.20,axes=[[3,0,0],[0,3,0],[0,0,3]])
cyl_text(obj,plain,[0.,10.,0.],'Y',0.20,axes=[[3,0,0],[0,3,0],[0,0,3]])
cyl_text(obj,plain,[0.,0.,10.],'Z',0.20,axes=[[3,0,0],[0,3,0],[0,0,3]])

# then we load it into PyMOL
cmd.load_cgo(obj,'axes')

This script draws a simple cartesian coordinate system.

from pymol.cgo import *
from pymol import cmd

w = 0.06 # cylinder width 
l = 0.75 # cylinder length
h = 0.25 # cone hight
d = w * 1.618 # cone base diameter

obj = [CYLINDER, 0.0, 0.0, 0.0,   l, 0.0, 0.0, w, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0,
       CYLINDER, 0.0, 0.0, 0.0, 0.0,   l, 0.0, w, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0,
       CYLINDER, 0.0, 0.0, 0.0, 0.0, 0.0,   l, w, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0,
       CONE,   l, 0.0, 0.0, h+l, 0.0, 0.0, d, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 
       CONE, 0.0,   l, 0.0, 0.0, h+l, 0.0, d, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 1.0, 1.0, 
       CONE, 0.0, 0.0,   l, 0.0, 0.0, h+l, d, 0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 1.0]

cmd.load_cgo(obj, 'axes')

Save the script and run it in Pymol. Tested in version 1.3.