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I've added a more complete patch (against 2.5, hopefully
applies to 2.4 too).  It cleans up some things and adds
support for SSL sockets too.  Can people please review/test
this?  I manually tested this with regular sockets and it
seemed to work.  All the tests pass, but this is somewhat
tricky.  I hate the duplicated code between socket and ssl
modules, but added to it.  It would be great to clean this
up for 2.6.

If you are forced to use select with a high socket, the
exception on connect is operation in progress rather than
can't select on socket.  I guess that's ok, it doesn't
actually change the existing behaviour.  That would have
been more involved and I'm not sure it's worth it.