How do I script my phone? What I mostly want to do, is quickly alter settings, add alarms etc.

It is perhaps called something else?

This is from a Windows PC.
Language is not important, but I know Python and UNIX scripting.

How would this usually be done?
As you write you know Unix scripting, you might want to take a look at apps like SH Script Runner, Script Manager, Script Kitty, and similar. They all allow you to run shell scripts on your Android device.

Also, you could utilize Tasker: create a task to run a script, and then create a shortcut to that task on your homescreen. So you have easy access to your scripts directly from there.