This looks pretty good. One thing to note however is that you're going to need to do the select() in a separate thread if you want it to be able to wake up the event loop on network events. Depending on the way you're using the pygame event loop, this might not work out so well.
AFAIK, the select.select call doesn't block, which is the only reason (that I know of) that It would need to be called in a seperate thread? I'm not sure exactly what you mean by this.