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Hmm, not me, but yes, socketmodule.c wraps its system calls
in Py_BEGIN_ALLOW_THREADS and Py_END_ALLOW_THREADS, and then
does its error checking.  Here's a small function (from trunk):

static PyObject *
sock_connect(PySocketSockObject *s, PyObject *addro)
{
	struct sockaddr *addr;
	int addrlen;
	int res;
	int timeout;

	if (!getsockaddrarg(s, addro, &addr, &addrlen))
		return NULL;

	Py_BEGIN_ALLOW_THREADS
	res = internal_connect(s, addr, addrlen, &timeout);
	Py_END_ALLOW_THREADS

	if (timeout) {
		PyErr_SetString(socket_timeout, "timed out");
		return NULL;
	}
	if (res != 0)
		return s->errorhandler();
	Py_INCREF(Py_None);
	return Py_None;
}

Note that both the check for timeout and also the
s->errorhandler() call (which defaults to set_error() and
probably pre-dates timeout) use errno, everywhere.  If this
is wrong, I'll bring it up on python-dev.

Do you have an example of a properly-coded module?  For
example, the first one I checked, fctlmodule.c, does it the
same way.