ネットワーク接続でHTTP_CONNECTIONをkeep-aliveしたい
urllib2.AbstractHTTPHandler.do_openにある
headers["Connection"] = "close"
を
headers["Connection"] = "keep-alive"
にすればできそうなのですが

# We want to make an HTTP/1.1 request, but the addinfourl
# class isn't prepared to deal with a persistent connection.
# It will try to read all remaining data from the socket,
# which will block while the server waits for the next request.
# So make sure the connection gets closed after the (only)
# request.
と注意書きがあります。これを無視すると重大な問題が起きるのでしょうか？