I'm not sure if you are trying to retrieve it from the authenticated user or not, but if you are this is what I came up with. Not sure if it's the best way or not though.
m = twitter.get_mentions_timeline(count=200)
calls = 1
id = m[-1]['id']
next_id = -1
# will continue calling mentions timeline until you hit rate limit
# or there are no more mentions of authenticated user
while id != next_id and calls < 16:
temp = twitter.get_mentions_timeline(count=200,max_id=id)
calls += 1
next_id = temp[-1]['id']
if id != next_id:
m += temp
next_id = -1
id = temp[-1]['id']
m will be an array of all retrieved mentions of the authenticated user.