We present Continual Inference, a Python library for implementing Continual Inference Networks (CINs) in PyTorch, a class of Neural Networks designed specifically for efficient inference in both online and batch processing scenarios. We offer a comprehensive introduction and guide to CINs and their implementation in practice, and provide best-practices and code examples for composing complex modules for modern Deep Learning. Continual Inference is readily downloadable via the Python Package Index and at www.github.com/lukashedegaard/continual-inference.