Hi Shane,
OnlineGDB runs on a remote Unix server, for this, you cannot install any packages (or get any graphics or sound output, just standard output -- text --, and files).
I'd advise you to install Python on your own machine instead so you can customize your environment.
I'm not familiar with machine learning, so I won't address that part of your question, however, usually, you can search for the libraries you use and their website mostly has tutorials on how to use them.
This is for stick-it:
https://scikit-learn.org/stable/getting_started.html
Good luck!