From my experience, it's pretty easy, assuming you're prepared to pick up some powershell.

Some useful resources are

 - Olivier Grisel's example.   https://github.com/ogrisel/python-appveyor-demo

 - I made a similar example, using conda.    https://github.com/rmcgibbo/python-appveyor-conda-example

One problem is that appveyor is often quite slow compared to TravisCI, so this can be a little annoying. But it's better than nothing.