Make cache dir if it doesn't yet exist.

Cython/Build/Dependencies.py

@@ -611,6 +611,9 @@ def cythonize(module_list, exclude=[], nthreads=0, aliases=None, quiet=False, fo
             else:
                 new_sources.append(source)
         m.sources = new_sources
+    if hasattr(options, 'cache'):
+        if not os.path.exists(options.cache):
+            os.mkdir(options.cache)
     to_compile.sort()
     if nthreads:
         # Requires multiprocessing (or Python >= 2.6)