Are you asking the best way to store the data?
The HTML character set was extended to ISO 10646, which is similar to Unicode. I would recommend using nvarchar (MAX) or a lower string size. You could also use the XML datatype if you are extracting the html elements and storing them in an XML format in your python code.
For actually connecting to your SQL Database, I would recommend using the pyodbc driver. More information can be found at the link below: