How do I capture SIGINT in Python?

You can treat it like an exception (KeyboardInterrupt), like any other. Make a new file and run it from your shell with the following contents to see what I mean:

import time, sys

x = 1
while True:
    try:
        print x
        time.sleep(.3)
        x += 1
    except KeyboardInterrupt:
        print "Bye"
        sys.exit()

Register your handler with signal.signal like this:

#!/usr/bin/env python
import signal
import sys

def signal_handler(sig, frame):
    print('You pressed Ctrl+C!')
    sys.exit(0)

signal.signal(signal.SIGINT, signal_handler)
print('Press Ctrl+C')
signal.pause()

Code adapted from here.

More documentation on signal can be found here.