>>> print u'Лист'.encode('cp1251')

Traceback (most recent call last):
  File "<pyshell#2>", line 1, in <module>
    print u'Лист'.encode('cp1251')
  File "D:\Python26\lib\encodings\cp1251.py", line 12, in encode
    return codecs.charmap_encode(input,errors,encoding_table)
UnicodeEncodeError: 'charmap' codec can't encode characters in position 0-3: character maps to <undefined>

# -*- coding: cp1251 -*-
import xlwt as xlw
#работаем с экселем
class cxlslog:
    filename = ""
    wl = None
    def __init__(self,fname):
        self.wl = xlw.Workbook()
        self.filename = fname
    
    def addlist(self,lname):
        self.wl.add_sheet(lname)
        
    def save(self):
        self.wl.save(self.filename)
    
#работаем с экселем
#-------------------------------------


>>> x = cxlslog('123.xls')
>>> x.addlist('Лист1')
Traceback (most recent call last):
  File "D:\Program Files\Wing IDE 101 3.2\src\debug\tserver\_sandbox.py", line 1, in <module>
    # Used internally for debug sandbox under external interpreter
  File "D:\Program Files\Wing IDE 101 3.2\src\debug\tserver\_sandbox.py", line 12, in addlist
  File "d:\Python26\Lib\site-packages\xlwt\Workbook.py", line 317, in add_sheet
    sheetname = sheetname.decode(self.encoding)
UnicodeDecodeError: 'ascii' codec can't decode byte 0xd0 in position 0: ordinal not in range(128)

import xlwt

x = xlwt.Workbook()
x.add_sheet(u'Лист1')
x.save('123.xls')