I'm on precise 5.7 at the moment and python / shell scripts works out of the box (the terminal stays open and executes the script). This is the default executing command (edit->preferences->tools->terminal): /usr/bin/xterm -e bash -c
I remember that I used to run the scripts in the embedded terminal window with some success. but I can't recall the puppy version. Geany in precise 5.7 seems to be compiled without the embedded terminal support. CTRL+ALT+P to get the preferences window and look for the terminal flip (if memory serves me right)
I don't have slacko 5.6 so I can't test at the moment. Could you describe what happens when you try to execute a script?