Implement an interactive shell over ssh in Python using Paramiko?

I want to write a program (in Python 3.x on Windows 7) that executes multiple commands on a remote shell via ssh. After looking at paramikos’ exec_command() function, I realized it’s not suitable for my use case (because the channel gets closed after the command is executed), as the commands depend on environment variables (set by prior commands) and can’t be concatenated into one exec_command() call as they are to be executed at different times in the program.

Paramiko’s SSHClient with SFTP

How I can make SFTP transport through SSHClient on the remote server? I have a local host and two remote hosts. Remote hosts are backup server and web server. I need to find on backup server necessary backup file and put it on web server over SFTP. How can I make Paramiko’s SFTP transport work with Paramiko’s SSHClient?