Don't call `PyEval_InitThreads()` when using Python >= 3.7

[chrisnovakovic]

PyEval_InitThreads() is redundant as of Python 3.7, is a no-op (and is deprecated) as of Python 3.9, and will be removed in Python 3.11 - only call it when using Python 3.6 or below.

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[chrisnovakovic]

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[edenhill]

Can you force-push to this PR again to trigger CI jobs?

[chrisnovakovic]

Sure thing. Sorry for the delay!

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[chrisnovakovic]

Rebased on master.

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