@Marco Cocco Could you please add more detail about what failure you have seen while using the quickstart for python? If you are looking to just use the microphone instead of the file as mentioned in the sample, set the use_default_microphone to True instead of filename parameter in AudioConfig class. See the reference of the class here for available options.
audio_config = speechsdk.audio.AudioConfig(use_default_microphone=True)
Also, even if you do not provide AudioConfig the default will be set to mic for python. See the confirmation in this issue from SDK team.