Don’t sweat the small stuff. You’ve already picked one of the slower scripting languages out there, so trying to optimize down to the opcode is not going to help you much. The reason to choose an interpreted, dynamic language like Python is to optimize your time, not the CPU’s.
If you use common language idioms, then you’ll see all the benefits of fast prototyping and clean design and your code will naturally run faster as new versions of Python are released and the computer hardware is upgraded.
If you have performance problems, then profile your code and optimize your slow algorithms. But in the mean time, use exceptions for exceptional situations since it will make any refactoring you ultimately do along these lines a lot easier.