Building Python packages succeeds, but package is improperly built

When running python3 setup.py build it ended with this:

x86_64-linux-gnu-gcc -pthread -shared -Wl,-O1 -Wl,-Bsymbolic-functions -Wl,-Bsymbolic-functions -Wl,-z,relro -Wl,-Bsymbolic-functions -Wl,-z,relro -g -fstack-protector-strong -Wformat -Werror=format-security -D_FORTIFY_SOURCE=2 build/temp.linux-x86_64-3.4/sklearn/linear_model/sag_fast.o -Lbuild/temp.linux-x86_64-3.4 -o build/lib.linux-x86_64-3.4/sklearn/linear_model/sag_fast.cpython-34m.so
running install_lib
creating /usr/local/lib/python3.4/dist-packages/sklearn
error: could not create '/usr/local/lib/python3.4/dist-packages/sklearn': Permission denied

Of course it could not write to /usr/local/lib/ as no sudo was used. I'm wary of using sudo for this step.

This was the end of sudo python3 setup.py install:

running install_egg_info
Writing /usr/local/lib/python3.4/dist-packages/scikit_learn-0.18.dev0.egg-info
running install_clib

Looks good to me. However, when I try to import sklearn I get this error:

$ python3
Python 3.4.3+ (default, Oct 14 2015, 16:03:50) 
[GCC 5.2.1 20151010] on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> import sklearn
Traceback (most recent call last):
File "/home/dotancohen/code/scikit-learn/sklearn/__check_build/__init__.py", line 44, in <module>
    from ._check_build import check_build
ImportError: No module named 'sklearn.__check_build._check_build'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
File "<stdin>", line 1, in <module>
File "/home/dotancohen/code/scikit-learn/sklearn/__init__.py", line 56, in <module>
    from . import __check_build
File "/home/dotancohen/code/scikit-learn/sklearn/__check_build/__init__.py", line 46, in <module>
    raise_build_error(e)
File "/home/dotancohen/code/scikit-learn/sklearn/__check_build/__init__.py", line 41, in raise_build_error
    %s""" % (e, local_dir, ''.join(dir_content).strip(), msg))
ImportError: No module named 'sklearn.__check_build._check_build'
___________________________________________________________________________
Contents of /home/dotancohen/code/scikit-learn/sklearn/__check_build:
_check_build.c            setup.pyc                 __pycache__
_check_build.pyx          __init__.py               setup.py
___________________________________________________________________________
It seems that scikit-learn has not been built correctly.

If you have installed scikit-learn from source, please do not forget
to build the package before using it: run `python setup.py install` or
`make` in the source directory.

If you have used an installer, please check that it is suited for your
Python version, your operating system and your platform.
>>>

Should I run python3 setup.py build with sudo? This is on Kubuntu Linux 15.10:

$ uname -a
Linux loathe 4.2.0-16-generic #19-Ubuntu SMP Thu Oct 8 15:35:06 UTC 2015 x86_64 x86_64 x86_64 GNU/Linux

$ cat /etc/issue
Ubuntu 15.10 \n \l

Note that the Ubuntu-packaged version of python-scikits-learn is for Python 2 only, and I need Python 3.