# каждый поток ставит прокси так:

socks_hnd = SocksHandler.SocksHandler(PROXY_TYPE_HTTP, ip, port)
opener = urllib.request.build_opener(socks_hnd)
urllib.request.install_opener(opener)

class HTTPWithProxy:
	def __init__( self, proxy, user_agent='Mozilla/5.0 (X11; U; Linux i686; ru; rv:1.9.2.3) Gecko/20100423 Ubuntu/10.04 (lucid) Firefox/3.6.3', headers={} ):
		''' proxy - {'http':'ipaddres:port'} '''
		# создаем опенер, который может работать через прокси
		self.opener = urllib.request.build_opener( urllib.request.ProxyHandler( proxy ) )
		
		self.opener.addheaders = [ {'User-agent', user_agent} ]
	
	def request( self, url, data={}, timeout=5 ):
		if data:
			try:	
				html = self.opener.open( url, data, timeout )
			except Exception as error:
				print( 'Error:', error )
		else:
			try:
				html = self.opener.open( url, None, timeout )
			except Exception as error:
				print( 'Error:', error )
		return html

connect = HTTPWithProxy( proxy )
response = connect.request( 'http://cmyip.com' )
page = response.read()