> Those fd_sets are currently allocated on stack and the array they 
> contain is determined currently by FD_SETSIZE. We'll basically need 
> a similar structure that we can allocate dynamically, and cast it to
> fd_set when passing it to the select call.

This is possible in Windows. Other platforms are limited to a fixed FD_SETSIZE, in which case the old error should be retained:

        if (index >= (unsigned int)FD_SETSIZE) {
            PyErr_SetString(PyExc_ValueError,
                          "too many file descriptors in select()");
            goto finally;
        }