Your settings are almost fine. In Python code, the tab settings should always be
:set tabstop=8 shiftwidth=4 softtabstop=4 expandtab
These settings honour the recommendations in the "Style guide for Python code" known as PEP 8 and are universally followed in Python code. Stick to these settings, or even better, set up an autocommand that sets them automatically. In your vimrc:
autocmd FileType python setlocal ts=8 sw=4 sts=4 et
Now on to your problem: This is caused by the default indentation rules in Vim's indent script for Python. Fortunately, these rules can be customised. In your case you just need to put the following line in your vimrc.
let g:pyindent_continue = '&shiftwidth'
(In newer versions of Vim, use 'shiftwidth()'
instead of '&shiftwidth'
.)
For more information, look up :h ft-python-indent
.