I recently added a Pyle Audio PMIDIPD30 to my setup, mostly because it's cheap and it comes with a crossfader. Sadly, it didn't come with a remote controller script for Ableton Live, MIDI maps in Live didn't quite seem to do what I want, and the generic user remote script doesn't seem to support crossfaders.
So, it appears that the Live's (mostly undocumented) Python API is the way to go. It took a little effort to figure this out (hat tip to Julien Bayle and Hanz Petrov for getting me started). Specifically, the Live API comes with a number of high-level classes for things like transport control that do lots of complex stuff that I didn't need, while obscuring the basic functionality that I wanted.
In the end, I found a solution that bypasses most of the complexity of the remote script API while giving access to the (nicely documented) Live Object Model. The result is a simple base class (simple_controller_base.py) that I believe will be useful in other settings, plus a device-specific sublass (PMIDIPD30.py) that shows how to use it.
Simply clone this repository into your Live remote MIDI script folder (on my Mac, that's /Applications/Ableton Live 9 Suite.app/Contents/App-Resources/MIDI Remote Scripts). Restart Live, open the MIDI preferences, and select pmidipd30 from the drop-down menu. Select the appropriate input port and make sure to check "Track" and "Remote" on the port.
When working on a script, I find it useful to keep an eye on the logs; just open a terminal window and say tail -f Library/Preferences/Ableton/Live\ 9.7.5/Log.txt (the actual path may be different on your machine).
The PMIDIPD30 is misconfigured out of the box. Specifically, all four banks are the same, and faders 7 and 8 are useless because they map to the same CC numbers as the crossfader and encoder. This repository includes a rough configuration editor that fixes this problem. It uses the Web MIDI API; just open index.html.