explicit note about socket thread affinity. [skip ci]

doc/gevent.socket.rst

@@ -8,6 +8,14 @@ items in the standard :mod:`socket` module exactly, but the
 synchronous functions in this module only block the current greenlet
 and let the others run.
 
+.. warning:: gevent's sockets have thread affinity. That is, they can
+             only be used from the operating system thread that
+             created them (any greenlet in that thread can use the
+             socket). The results of attempting to use the socket in
+             another thread (for example, passing it to the
+             threadpool) are not defined (but one common outcome is a
+             ``LoopExit`` exception).
+
 For convenience, exceptions (like :class:`error <socket.error>` and
 :class:`timeout <socket.timeout>`) as well as the constants from the
 :mod:`socket` module are imported into this module.
@@ -17,7 +25,7 @@ The exact API exposed by this module varies depending on what version
 of Python you are using. The documents below describe the API for
 Python 2 and Python 3, respectively.
 
-.. warning:: All the described APIs should be imported from
+.. caution:: All the described APIs should be imported from
    ``gevent.socket``, and *not* from their implementation modules.
    Their organization is an implementation detail that may change at
    any time.