Actually Debian has the python-wxgtk2.8 package which you can simply apt-get if you wish to have it installed as part of Python 2.5 which is the stable version for Lenny. I’m adding wxPython 2.8 to Python 2.6, which I installed from source. More here
I mostly followed what the official wxPython installation guide says. It was not a smooth installation for me, so this is my own installation note. The version is 126.96.36.199.