How do I capture SIGINT in Python?

I’m working on a python script that starts several processes and database connections. Every now and then I want to kill the script with a Ctrl+C signal, and I’d like to do some cleanup.

In Perl I’d do this:

$SIG{'INT'} = 'exit_gracefully';

sub exit_gracefully {
    print "Caught ^C \n";
    exit (0);
}

How do I do the analogue of this in Python?

How do I capture SIGINT in Python?