In Python, why is a module implemented in C faster than a pure Python module, and how do I write one?

The python documentation states, that the reason cPickle is faster than Pickle is, that the former is implemented in C. What does that mean exactly?

I am making a module for advanced mathematics in Python, and some calculations take a significant amount of time. Does that mean that if my program is implemented in C it can be made much faster?

I wish to import this module from other Python programs, just the way I can import cPickle.

Can you explain how to do implement a Python module in C?