[x] Try getting wheel building to run locally also and if so, use that command also in CI.
[ ] I am currently using Makefile for python stuff, but I should probably instead be using setup.py and/or pyproject.toml. I should look into that, if I can get rid of Makefile, then other stuff might also work smoother. And then also I can somewhere properly declare which are the deps that python binding uses (for dev), instead of installing one by one in the makefile? Not sure.
[ ] Migrate to Github Actions from Appveryor (for win).
[ ] Make sure to hunt down all the TODOs I introduced in this PR and handle them.
TODO: