gconf is deprecated, so for a new project I would not use it.
dconf is a backend for storing the settings, as an application developer you should normally not have to bother with it.
What you seem to need is
gsettings, a high-level API (API documentation for C) to store/retrieve settings without bothering how/where they are actually stored.
gsettings is part of
gio, which is one of the core packages of gnome (like
gobject). This blog post gives a short introduction how to use it with Python.
If you do not want any dependencies on
gio (e.g. you are not developing a GNOME application) and want to store simple config files, I'd suggest to use the
$HOME/.config directory (or whatever directory defined by
$XDG_CONFIG_DIRS) instead of
$HOME/.your_appname, in line with the freedesktop spec.