bpy.ops.logic.sensor_add(type='ALWAYS', object=my_obj.name)
bpy.ops.logic.controller_add(type='LOGIC_AND', object=my_obj.name)

new_controller = my_obj.controllers[-1]
new_sensor = my_obj.sensors[-1]

import bpy

obj = bpy.context.object
sensors = obj.game.sensors
controllers = obj.game.controllers

bpy.ops.logic.sensor_add(type="ALWAYS", object=obj.name)
bpy.ops.logic.controller_add(type="LOGIC_AND", object=obj.name)

# Newly added logic blocks will be the last ones:
sensor = sensors[-1]
controller = controllers[-1]

sensor.link(controller)