test_example.py

class Test_ThisStuff(object):

    def setup(self):
        print('Setting up')
        self.name = 'Ed'
        self.age = 38

    def teardown(self):
        print('tearing down')
        self.name = None
        self.age = None

    def test_name(self):
        assert self.name == "Ed"

    def test_age(self):
        assert self.age == 38

This is how I use setup and teardown. Running py.test with -s will show you stdout output, and you can see setup and teardown being executed for each test.