import threading

def proc(p):
    print "Start thread " + p
        
p1 = threading.Thread(target=proc, name="p1", args=["1"])
p2 = threading.Thread(target=proc, name="p2", args=["2"])

p1.start()
p2.start()

ERROR: dbgp.client: 
The main thread of this application is exiting while there are still threads
alive. When the main thread exits, it is system defined whether the other
threads survive.

See Caveats at http://docs.python.org/lib/module-thread.html