Tim Golden,
My preferred solution would be to replace the binary delete argument of the current NamedTemporaryFile implementation with finer-grained options:
   delete=False         # don't delete
   delete=True          # delete after file closed, current behavior
   delete=AFTER_CLOSE   # delete after file closed
   delete=AFTER_CM_EXIT # delete after context manager exits
   delete=AFTER_CM_EXIT_NO_EXCEPTION # delete after CM exit, unless this is due to an exception

I have implemented a Windows-friendly solution to the latter case using Nick Coghlan's code.  My version does not delete the file until the context manager exits, and *if* the context manager exits due to an exception it leaves the file in place and reports its location, to aid me in debugging.