gnuplot epslatex functionality in matplotlib

Hello everyone. I am used to plot data with gnuplot, so I can easily
put the figures in a LaTeX document, using the epslatex terminal. For

file = "data\.dat"

set terminal epslatex
set output "figure1\.tex"

plot file

This way, two files are generated: one .eps file, which contains the
graphics, and one .tex file, which contains the text. The great
advantage of this is that text is rendered by LaTeX, so the tics,
labels, etc. have the same font as the rest of the document (using the
appropiate packages).

Now I am starting with matplotlib, which has a much nicer API, is more
scriptable and, well, is Python. But, even though I can make
matplotlib render the text with LaTeX, it gets embedded into the image
and I cannot achieve the same advantages I had with gnuplot.

Is there any way I can emulate the epslatex terminal in matplotlib?

Thank you very much!