In Python 3, you can use the builtin range function like this
>>> list(range(9))
[0, 1, 2, 3, 4, 5, 6, 7, 8]
Note 1: Python 3.x's range function, returns a range object. If you want a list you need to explicitly convert that to a list, with the list function like I have shown in the answer.
Note 2: We pass number 9 to range function because, range function will generate numbers till the given number but not including the number. So, we give the actual number + 1.
Note 3: There is a small difference in functionality of range in Python 2 and 3. You can read more about that in this answer.
Note :- Certainly in python-3x you need to use Range function It works to generate numbers on demand, standard method to use Range function to make a list of consecutive numbers is