So, you need to upgrade SQLite, but fortunately this is surprisingly easy. If you're on Windows, like I am, you should go to the SQLite download page and download the sqlite.dll. Then, you simply take that dll, and put it in Your_Python_Installation\DLLs, where Your_Python_Installation is the folder where Python is installed, in my case Python26.
After you've done that, you can simply do
PRAGMA journal_mode=waland that should activate WAL. To be sure, check the return of value of curs.fetchone() which should be (u'wal',).