I have experience in coding OpenMP for Shared Memory machines (in both C and FORTRAN) to carry out simple tasks like matrix addition, multiplication etc. (Just to see how it
To the best of my knowledge, there is no OpenMP package for Python (and I don't know what it would do if there were one). If you want threads directly under your control, you will have to use one of the threading libraries. However, as pointed out by others, the GIL (Global Interpreter Lock) makes multi-threading in Python for performance a little... well, pointless*. The GIL means that only one thread can access the interpreter at a time.
I would suggest looking at NumPy/SciPy instead. NumPy lets you write Matlab-esque code where you are operating on arrays and matrices with single operations. It has some parallel processing capabilities as well, see the SciPy Wiki.
Other places to start looking:
* Ok, it isn't pointless, but unless the time is consumed outside of Python code (like by an external process invoked via popen or some such), the threads aren't going to buy you anything other than convenience.