Errors and warnings are printed to stderr.

Fixes https://github.com/aws/aws-cli/issues/820

cc @jamesls @danielgtaylor 
Yeah, the only reason I tested these are internal methods of threads, and the only way to call these methods is if I run the thread.  So that means I would have to be careful that the threads are cleaned up properly.  But, it should not be an issue if I use the ``Executor`` methods to control the threads