Stream large binary files with urllib2 to file

I use the following code to stream large files from the Internet into a local file:

fp = open(file, 'wb')
req = urllib2.urlopen(url)
for line in req:
    fp.write(line)
fp.close()

This works but it downloads quite slowly. Is there a faster way? (The files are large so I don't want to keep them in memory.)