A year or more ago, when I was trying to learn about model selection, I started writing a tutorial about doing it with PyMC. It ended up being more difficult than I expected though, and I left it for later. And later has become later and later. Yet people continue landing on this page and I’m sure that they are leaving disappointed because of its unfinishedness. Sad. But fortunately another tutorial exists, Estimating Bayes factors using PyMC by PyMC developer Chris Fonnesbeck. So try that for now, and I’ll work on mine more later (and later and later).
There is also an extensive discussion on the PyMC mailing list that you can turn to here. It produced this monte carlo calculation.
Healthy Algorithms 