It seems the doc is not up to date, there is no Consumer class anymore in the library.
In [5]: consumer = oauth.Consumer(key=client_id, secret=client_secret)
AttributeError Traceback (most recent call last)
in ()
----> 1 consumer = oauth.Consumer(key=client_id, secret=client_secret)
AttributeError: 'module' object has no attribute 'Consumer'