Encode the text first before writing it to the file:
status.text.encode('utf8')
EDIT:
Try this instead:
import codecs
fp = codecs.open("Tweets.txt", "w", "utf-8")
fp.write(status.text)
EDIT:
Create a counter and increment it every time a new tweet occurs, e.g.:
counter = 0
MAX_TWEETS = 1000
within the on_status method:
counter += 1
if counter >= MAX_TWEETS:
sys.exit()