http://sorhed.livejournal.com/531497.html

def zip_files(*args):
    """Heil iterators!"""

    from itertools import ifilter, chain, izip_longest

    for line in ifilter(None, chain.from_iterable(izip_longest(*map(open, args)))):
        yield line

def sorted_streams(*args):
    """Get sorted stream from a mix of pre-sorted files"""

    layer = [(False, open(fn)) for fn in args]
    while layer:
        layer.sort()
        cur, stream = layer[0]

        if cur is False:
            cur = stream.readline()
            if cur == '':
                layer = layer[1:]
                continue
           layer[0] = int(cur), stream
        else:
            layer[0] = False, stream
            yield cur