You need to activate the original LEDE packages repo by following our official guide

Afterwards, there are few packages that need to be installed:

opkg update
opkg install sqlite3-cli python-sqlite3

For larger databases, you may want to boot your Omega from an External Storage

Now you can create a database through the following command: 

sqlite3 /mnt/sda1/test1.db

For further configuration and python code, please follow this link: