Use warnings module to issue DeprecationWarning instead of printing to stderr

theano/compile/sandbox/__init__.py

-import sys
-print >> sys.stderr, "DEPRECATION: theano.compile.sandbox no longer provides shared, shared_constructor, and pfunc.  They have been moved to theano.compile."
+import warnings
+warnings.warn("theano.compile.sandbox no longer provides shared, shared_constructor, and pfunc.  They have been moved to theano.compile.", DeprecationWarning)
+
 from theano.compile.sharedvalue import shared, shared_constructor
 from theano.compile.pfunc import pfunc