I think it's best to call join() on your threads when you expect them to die. I've taken some liberty with your code to make the loops end (you can add whatever cleanup needs are required to there as well). The variable die is checked for truth on each pass and when it's True then the program exits.
import threading
import time
class MyThread (threading.Thread):
die = False
def __init__(self, name):
threading.Thread.__init__(self)
self.name = name
def run (self):
while not self.die:
time.sleep(1)
print (self.name)
def join(self):
self.die = True
super().join()
if __name__ == '__main__':
f = MyThread('first')
f.start()
s = MyThread('second')
s.start()
try:
while True:
time.sleep(2)
except KeyboardInterrupt:
f.join()
s.join()