Be careful, Martijn Pieters's answer isn't suitable for version 1.2.1+. You can't set it globally without patching the library.
You can do this instead:
import requests
from requests.adapters import HTTPAdapter
s = requests.Session()
s.mount('http://www.github.com', HTTPAdapter(max_retries=5))
s.mount('https://www.github.com', HTTPAdapter(max_retries=5))