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I'm trying to use qiskit runtime to run my own version of VQE (the idea is to later run other algorithms). I understand that to use the IBMRuntimeService.upload_program() function I need to store the program in some MY_PROGRAM.py file. What exactly does this file have to look like?

I have only found tutorials on running simple circuits (they don't have a classical optimisation part) or using pre-build Qiskit programs as 'hello-world' or 'QAOA'.

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I think this is what you are searching for:

From the tutorial description:

Here we will demonstrate how to create, upload, and use a custom Program for Qiskit Runtime. As the utility of the Runtime execution engine lies in its ability to execute many quantum circuits with low latencies, this tutorial will show how to create your own Variational Quantum Eigensolver (VQE) program from scratch.

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