How to properly use mock in python with unittest setUp

In my attempt to learn TDD, trying to learn unit testing and using mock with python. Slowly getting the hang of it, but unsure if I'm doing this correctly. Forewarned: I'm stucking using python 2.4 because the vendor API's come as pre-compiled 2.4 pyc files, so I'm using mock 0.8.0 and unittest ( not unittest2 )

Given this example code in 'mymodule.py'

import ldap

class MyCustomException(Exception):
    pass

class MyClass:
    def __init__(self, server, user, passwd):
        self.ldap = ldap.initialize(server)
        self.user = user
        self.passwd = passwd

    def connect(self):
        try:
            self.ldap.simple_bind_s(self.user, self.passwd)
        except ldap.INVALID_CREDENTIALS:
            # do some stuff
            raise MyCustomException

Now in my test case file 'test_myclass.py', I want to mock the ldap object out. ldap.initialize returns the ldap.ldapobject.SimpleLDAPObject, so I figured that'd be the method I'd have to mock out.

import unittest
from ldap import INVALID_CREDENTIALS
from mock import patch, MagicMock
from mymodule import MyClass

class LDAPConnTests(unittest.TestCase):
    @patch('ldap.initialize')
    def setUp(self, mock_obj):
        self.ldapserver = MyClass('myserver','myuser','mypass')
        self.mocked_inst = mock_obj.return_value

    def testRaisesMyCustomException(self):
        self.mocked_inst.simple_bind_s = MagicMock()
        # set our side effect to the ldap exception to raise
        self.mocked_inst.simple_bind_s.side_effect = INVALID_CREDENTIALS
        self.assertRaises(mymodule.MyCustomException, self.ldapserver.connect)

    def testMyNextTestCase(self):
        # blah blah

Leads me to a couple of questions:

1. Does that look right? :)
2. Is that the proper way to try and mock an object that gets instantiated within the class I'm testing?
3. Is it ok to be calling the @patch decorator on setUp or