Just setting (setq tab-width 4) doesn't work when in python-mode.
I found a good way to change that here.
I had to change the python-indent variable as well to get the desired effect:
(defun my-pystuff ()
(setq tab-width 4
py-indent-offset 4
indent-tabs-mode t
py-smart-indentation nil
python-indent 4))
(add-hook 'python-mode-hook 'my-pystuff)
(Add this to your .emacs)