This should help you (from the pylab.figure doc):
call signature::
figure(num=None, figsize=(8, 6),
  dpi=80, facecolor='w', edgecolor='k')
Create a new figure and return a
  :class:matplotlib.figure.Figure
  instance.  If num = None, the
  figure number will be incremented and
  a new figure will be created.**  The
  returned figure objects have a
  number attribute holding this number.
If you want to recall your figures in a loop then a good aproach would be to store your figure instances in a list and to call them in the loop.
>> f = pylab.figure()
>> mylist.append(f)
etc...
>> for fig in mylist:
>>     fig.savefig()