As TokenMacGuy says, you should use thread.is_alive()
to check if a thread is still running. To remove no longer running threads from your list you can use a list comprehension:
for t in my_threads:
if not t.is_alive():
# get results from thread
t.handled = True
my_threads = [t for t in my_threads if not t.handled]
This avoids the problem of removing items from a list while iterating over it.