PS. The main problem is not a lack of feature but that inconsistency, 
and that's not documented if File type docs:

print >>my_file, my_unicode  # <- is encoded with my_file.encoding
my_file.write(my_unicode)  # <- is encoded with my_file.encoding

# and on the other hand:
print my_unicode -- works  # <- is encoded with my_file.encoding
sys.stdout.write(my_unicode)  # <- is encoded with what is returned by 
sys.getdefaultencoding()