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: http://www.ibuyopenwrt.com/index.php/8-yun-compatible/89-python-and-sqlite3