Use a virtual environment:
$ virtualenv myenv
.. some output ..
$ source myenv/bin/activate
(myenv) $ pip install what-i-want
You only use sudo
or elevated permissions when you want to install stuff for the global, system-wide Python installation.
It is best to use a virtual environment which isolates packages for you. That way you can play around without polluting the global python install.
As a bonus, virtualenv does not need elevated permissions.