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Need to change the // comment to /* */.  gcc accepts this
for C, but it's non-standard (at least it was, it may have
changed in C99).

You can have 1 Py_SET_ERANGE_IF_OVERFLOW for both platforms
if you do this:

#ifndef ERANGE
#define ERANGE 1
#endif

#define Py_SET_ERANGE_IF_OVERFLOW(X) \
    do { \
        if (Py_GetErrno() == 0 && ((X) == Py_HUGE_VAL || \
                                   (X) == -Py_HUGE_VAL))  \
             Py_SetErrno(ERANGE); \
    } while(0)
I'm not sure of the usefulness of Py_ClearErrno(), since
it's the same on all platforms.  If errno might be set to
something other than 0 in the future, it would be good to
make the change now.

I would suggest changing finally to cleanup.