To get all links on the page you could use BeautifulSoup. Take a look at this page, it can help. It actually tells how to do exactly what you need.

To save all pages, you could do the same as what you do in your current code, but within a loop that would iterate over all links you'll have extracted and stored, say, in a list.

Write a python script that goes through the links on a page recursively
http://frontpagemag.com. (April 16) reported that President ‘Obama snubbed Margaret Thatcher’s funeral’ by saying “Obama is not fit to lick Ronald Reagan's boot heels after walking behind his horse,” and went on sarcastically;


  "The man who had no room for Churchill in the White House would
  certainly have no time to take a break from his umpteenth golf game to
  pay tribute to a woman who represents everything that he is working to
  destroy."


Is “have / had no room for X” in the White House a set phrase or an ad hock turn of words to mean “have no special attachment / reverence to a big name or specific person, or even country? 
