The easiest way I found is the following:
from PyGnuplot import gp
from IPython.display import Image
def set_jpeg(g0, out_file):
g0.default_term = 'jpeg'
g0.file = out_file
g0.c('set out "' + str(g0.file) + '"')
g0.c('set term ' + g0.default_term)
return g0.a()
g1 = gp()
set_jpeg(g1, 'g1.jpeg')
g1.a('plot sin(x)') # gnuplot writes plot to 'g1.jpeg'
Image(g1.file) # shows the plot for g1 (g1.jpeg)