I want to make my python program fast by using cython, but my inner loop is still making slow python calls to the random number generator! Several years ago this same issue was raised by someone on sage-support and there seemed to be no good solution at that time. It is not convenient for me to pre-generate a long list of random samples because I am actually sampling from various distributions in a way that is conditional on previous samples.
Here's a blog post explaining how this was kludged by connecting from cython to gsl:
And a stackoverflow post by someone trying to implement the gsl kludge: