Is the reason that you need goto in every one of these blocks that PyErr_Occcurred() will get reset if you make other PyModule_AddIntMacro calls that don't fail along the way?

Either way, I'm mildly tempted to suggest adding a wrapper macro like:

#define _PyModule_AddIntMacroOrGotoError(m, macro) \
    if (PyModule_AddIntMacro(m, macro) < 0) { goto error; }

But I dunno. I'm torn between the principles of "don't repeat yourself" and "don't write a preprocessor macro with a goto in it (you monster)".