This isn't a DummyClient if it does something important!  Call it `ThreadLocalClient`?

You should comment this to make it clearer what's going on, e.g:

```
# ZeroMQ sockets are _not_ thread-safe.  
# To avoid locking overhead/deadlock issues, requests are proxied through
# a unique, thread-local client for each thread.  This has the potential to create
# many clients (if a thread were spawned per request), but works well in practice.

# [Some explanation of why we don't just use a lock around the client socket.]