Here are some things that would likely help:

* in the main thread stop your daemon threads if you hit SystemExit
* make sure daemon threads release/acquire the GIL frequently (so they notice finalization)
* make sure daemon threads otherwise exit promptly (no long running C code)
* stop using daemon threads
* use a newer version of Python (may be fixed there)

I'm going take a look at master to see if it has a similar possible problem with daemon threads and runtime finalization.  If there is then I'll likely open a separate issue (and reference it here).