I can't seem to do anything right :-)
As Chris H. points out, I should have added 'extern' to the
declaration of _PyThreadState_Current. Here it is.
diff --git a/Include/pystate.h b/Include/pystate.h
index f6a26fd..e578024 100644
--- a/Include/pystate.h
+++ b/Include/pystate.h
@@ -104,7 +104,7 @@
/* Variable and macro for in-line access to current thread state */
-DL_IMPORT(PyThreadState *) _PyThreadState_Current;
+extern DL_IMPORT(PyThreadState *) _PyThreadState_Current;
#ifdef Py_DEBUG
#define PyThreadState_GET() PyThreadState_Get()