Is there a way to configure PyCharm to be able to surround selected code with parenthesis by just typing on the parenthesis key, like when we use SublimText 2?

I think you want something like

Settings | Editor | General | Smart Keys -> Surround selection on typing quote or brace

PyCharm 4.0 has the option to Surround With..., by selecting your code snippet and pressing

ctrl + alt + T

or on Mac: ? + ? + T

Option 1 should provide you with the functionality you are looking for:

PyCharm Ctrl+Alt+T

Windows: open pycharm and select file, settings, Editor, Smart Keys, in the list you will check “Surround selection on typing quote or brace”, then apply.
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Image of pycharm location of smart keys